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Volatility spillovers among G7, E7 stock markets and cryptocurrencies

Berna Aydoğan et al.

Journal of Economic and Administrative Sciences2022https://doi.org/10.1108/jeas-09-2021-0190article
ABDC C
Weight
0.70

What the paper says

Purpose The existence of long memory and persistent volatility characteristics of cryptocurrencies justifies the investigation of return and volatility/shock spillovers between traditional financial market asset classes and cryptocurrencies. The purpose of this paper is to investigate the dynamic relationship between the cryptocurrencies, namely Bitcoin and Ethereum, and stock market indices of G7 and E7 countries to analyze the return and volatility spillover patterns among these markets by means of multivariate (MGARCH) approach. Design/methodology/approach Applying the newly developed VAR-GARCH-in mean framework with the BEKK representation, the empirical results reveal that there exists an evidence of mean and volatility spillover effects among Bitcoin and Ethereum as the proxies for the cryptocurrencies, and stock markets reviewed. Findings Interestingly, the direction of the return and volatility spillover effects is unidirectional in most E7 countries, but bidirectional relationship was found in most G7 countries. This can be explained as the presence of a strong return and volatility interaction among G7 stock markets and crypto market. Originality/value Overall, the results of this study are of particular interest for portfolio management since it provides insights for financial market participants to make better portfolio allocation decisions. It is also increasingly important to understand the volatility transmission mechanism across these markets to provide policymakers and regulatory bodies with guidance to eliminate the negative impact of cryptocurrency's volatility on the stability of financial markets.

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https://doi.org/https://doi.org/10.1108/jeas-09-2021-0190

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@article{berna2022,
  title        = {{Volatility spillovers among G7, E7 stock markets and cryptocurrencies}},
  author       = {Berna Aydoğan et al.},
  journal      = {Journal of Economic and Administrative Sciences},
  year         = {2022},
  doi          = {https://doi.org/https://doi.org/10.1108/jeas-09-2021-0190},
}

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Volatility spillovers among G7, E7 stock markets and cryptocurrencies

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Evidence weight

0.70

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.88 × 0.4 = 0.35
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.