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COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover

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  • Di, Michael
  • Xu, Ke

Abstract

This paper examines implied volatility spillovers and connectedness between Bitcoin and a broad range of traditional financial assets (U.S. equity market, gold, crude oil, emerging markets and developing markets) from January 8, 2019 to January 20, 2022. Vector Auto-Regression and Generalized Forecast Error Variance Decomposition are used to compare results before COVID-19, during COVID-19 and after the vaccine becomes available. Results indicate higher connectedness during COVID-19 but very low connectedness after the vaccine is available, signaling recovery in financial markets. We also find that Bitcoin is a strong transmitter of volatility during COVID-19.

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  • Di, Michael & Xu, Ke, 2022. "COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004731
    DOI: 10.1016/j.frl.2022.103289
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    Cited by:

    1. Apostolos Ampountolas, 2023. "Comparative Analysis of Machine Learning, Hybrid, and Deep Learning Forecasting Models: Evidence from European Financial Markets and Bitcoins," Forecasting, MDPI, vol. 5(2), pages 1-15, June.
    2. Apostolos Ampountolas, 2023. "Comparative Analysis of Machine Learning, Hybrid, and Deep Learning Forecasting Models Evidence from European Financial Markets and Bitcoins," Papers 2307.08853, arXiv.org.
    3. Ştefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2023. "Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.

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