Risk Spillovers between Bitcoin and ASEAN+6 Stock Markets before and after COVID-19 Outbreak: A Comparative Analysis with Gold

Abstract

This paper applies the multivariate GARCH models to investigate the role of Bitcoin as a hedge and safe haven for ASEAN+6 stock markets compared to gold. We used daily data for the dates 2 January 2017–20 January 2023, covering the recent COVID-19 pandemic. The empirical findings provide compelling evidence of cross-market shock and volatility transmission between stock returns and Bitcoin returns in both directions. Therefore, the dynamics of Bitcoin returns significantly influence the volatility of stock returns, and the relationship also holds in reverse. All diagonal element estimations are statistically significant for both periods, as shown by the findings of the return and volatility spillovers between the returns of gold and the ASEAN+6 stock market. For most ASEAN+6 equity markets evaluated, Bitcoin and gold are not safe havens, and their inclusion increases the portfolio downside risk.

Persistence and volatility spillovers of Bitcoin to other leading cryptocurrencies: a BEKK-GARCH analysis

“…In recent years, governments, legislators, investors and scholars have all paid close attention to the cryptocurrency market, a new asset class (Bouri et al , 2020a; Dutta and Bouri, 2022; Kumar et al , 2022; Yousaf and Ali, 2020b). Several studies have concentrated on Bitcoin and other leading cryptocurrencies in terms of price discovery (Banerjee et al , 2022; Bouri et al , 2022; Fakhfekh and Jeribi, 2020), market efficiency (Caporale and Plastun, 2019; Kristjanpoller et al , 2020; Yaya et al , 2021), safe-haven ability (Conlon et al , 2020; Dutta et al , 2020; Sinlapates et al , 2023) and interconnectedness (Ben Khelifa et al , 2021; Bouri et al , 2020b, Katsiampa et al , 2022; Yaya et al , 2022). In particular, generalized autoregressive conditional heteroskedasticity (GARCH) processes, which are able to parameterise higher-order dependence and time-evolution of conditional volatility, have been used to represent the severe return volatility that distinguishes cryptocurrencies (Dutta et al , 2020; Katsiampa et al , 2019; Yousaf and Ali, 2020a).…”

COVID-19 Media Chatter and Macroeconomic Reflectors on Black Swan: A Spanish and Indian Stock Markets Comparison

“…The steep dependence of financial assets on media sentiment pertinent to the ongoing pandemic triggers efficiency in market microstructure (Dash et al 2014;Ding and Qin 2020;Barky et al 2022;Kubiczek and Tuszkiewicz 2022;Saetia and Yokrattanasak 2023). Despite the sizeable literature on demystifying the nexus and spillover dynamics of different financial variables (Ali et al 2022b;Zhang and Mao 2022;Yu and Xiao 2022;Sinlapates et al 2023), the scarcity of robust predictive architecture required to yield the future figures for stock markets in developed and emerging economies simultaneously is an emerging problem.…”