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Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model

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  • Jiménez, Inés
  • Mora-Valencia, Andrés
  • Perote, Javier

Abstract

As crypto markets become more integrated, measuring their spillovers with financial markets becomes fundamental for portfolio choice and risk management. We investigate high-order moment transmission between emerging/developed and digital asset markets through a flexible semi-nonparametric approach that accounts for dynamic conditional correlation and spillover effects, not only in conditional volatility but also in conditional skewness and kurtosis. The results show a (positive) transmission of volatility from emerging and developed markets to digital asset markets, as a signal of market integration, but also some positive/negative skewness and kurtosis spillovers (remarkably from Crypto and Blockchain indices to Emerging Asia and Latin America indices) detected at daily and weekly basis.

Suggested Citation

  • Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2023. "Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model," Emerging Markets Review, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000596
    DOI: 10.1016/j.ememar.2023.101054
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    More about this item

    Keywords

    Emerging markets; Digital markets; High-order moment spillover; SNP-DCC model;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F62 - International Economics - - Economic Impacts of Globalization - - - Macroeconomic Impacts
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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