Dependences and risk spillover effects between Bitcoin, crude oil and other traditional financial markets during the COVID-19 outbreak.
Environ Sci Pollut Res Int
; 30(14): 40737-40751, 2023 Mar.
Article
in English
| MEDLINE | ID: covidwho-2174828
ABSTRACT
This study examines the relationship and risk spillover between Bitcoin, crude oil, and six traditional markets (the US stock, Chinese stock, gold, bond, currency, and real estate markets) from 2019 to 2020, during which the coronavirus disease 2019 (COVID-19) outbreak occurred as well. We first discuss the static relationship between Bitcoin and these markets using a quantile-on-quantile model and examine the dynamic relationship using a time-varying copula model. A conditional value-at-risk model is subsequently used to estimate the risk spillover between the markets studied. The empirical results reveal that the relationship between these markets is always time-varying, and the COVID-19 outbreak has revealed such changes in the relationship between Bitcoin and other traditional financial markets. The risk of all single markets has enhanced because of the pandemic. Further, the risk spillover of these markets has also changed dramatically since the COVID-19 outbreak during which the Bitcoin market has played an important role and exerted a significant impact on the crude oil market, and the four other markets (US stock, gold, Chinese stock, and real estate markets). Overall, our findings indicate that investors and policymakers need to be made aware of the risk spillover between Bitcoin, crude oil, and other traditional markets and that flexible hedge strategies and policies should be implemented in response to the challenges and economic recession observed following the COVID-19 outbreak.
Keywords
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Main subject:
Petroleum
/
Commerce
/
COVID-19
Type of study:
Experimental Studies
/
Prognostic study
Limits:
Humans
Language:
English
Journal:
Environ Sci Pollut Res Int
Journal subject:
Environmental Health
/
Toxicology
Year:
2023
Document Type:
Article
Affiliation country:
S11356-022-25107-w
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