IDEAS home Printed from https://ideas.repec.org/a/gam/jjrfmx/v16y2023i2p103-d1061790.html
   My bibliography  Save this article

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

Author

Listed:
  • Parichat Sinlapates

    (Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen 40002, Thailand)

  • Tanit Sriwong

    (Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen 40002, Thailand)

  • Surachai Chancharat

    (Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen 40002, Thailand)

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.

Suggested Citation

  • Parichat Sinlapates & Tanit Sriwong & Surachai Chancharat, 2023. "Risk Spillovers between Bitcoin and ASEAN+6 Stock Markets before and after COVID-19 Outbreak: A Comparative Analysis with Gold," JRFM, MDPI, vol. 16(2), pages 1-17, February.
    • Handle: RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:103-:d:1061790
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/1911-8074/16/2/103/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/1911-8074/16/2/103/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Duan, Kun & Li, Zeming & Urquhart, Andrew & Ye, Jinqiang, 2021. "Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
    2. Conlon, Thomas & McGee, Richard, 2020. "Safe haven or risky hazard? Bitcoin during the Covid-19 bear market," Finance Research Letters, Elsevier, vol. 35(C).
    3. Fakhfekh, Mohamed & Jeribi, Ahmed, 2020. "Volatility dynamics of crypto-currencies’ returns: Evidence from asymmetric and long memory GARCH models," Research in International Business and Finance, Elsevier, vol. 51(C).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
    2. Zhang, Chuanhai & Ma, Huan & Arkorful, Gideon Bruce & Peng, Zhe, 2023. "The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
    3. Ren, Xiaohang & Wang, Rui & Duan, Kun & Chen, Jinyu, 2022. "Dynamics of the sheltering role of Bitcoin against crude oil market crash with varying severity of the COVID-19: A comparison with gold," Research in International Business and Finance, Elsevier, vol. 62(C).
    4. Assaf, Ata & Bhandari, Avishek & Charif, Husni & Demir, Ender, 2022. "Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19," International Review of Financial Analysis, Elsevier, vol. 82(C).
    5. Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko & Muchtadi-Alamsyah, Intan & Arbi, Lukman, 2022. "Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk," Resources Policy, Elsevier, vol. 79(C).
    6. Feng, Hao & Gao, Da & Duan, Kun & Urquhart, Andrew, 2023. "Does Bitcoin affect decomposed oil shocks differently? Evidence from a quantile-based framework," International Review of Financial Analysis, Elsevier, vol. 89(C).
    7. Duan, Kun & Gao, Yang & Mishra, Tapas & Satchell, Stephen, 2023. "Efficiency dynamics across segmented Bitcoin Markets: Evidence from a decomposition strategy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
    8. Huang, Yingying & Duan, Kun & Urquhart, Andrew, 2023. "Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    9. ?ikolaos A. Kyriazis, 2021. "Impacts of Stock Indices, Oil, and Twitter Sentiment on Major Cryptocurrencies during the COVID-19 First Wave," Bulletin of Applied Economics, Risk Market Journals, vol. 8(2), pages 133-146.
    10. Bildirici, Melike E. & Sonustun, Bahri, 2021. "Chaotic behavior in gold, silver, copper and bitcoin prices," Resources Policy, Elsevier, vol. 74(C).
    11. Akhtaruzzaman, Md & Boubaker, Sabri & Sensoy, Ahmet, 2021. "Financial contagion during COVID–19 crisis," Finance Research Letters, Elsevier, vol. 38(C).
    12. Tachibana, Minoru, 2022. "Safe haven assets for international stock markets: A regime-switching factor copula approach," Research in International Business and Finance, Elsevier, vol. 60(C).
    13. Goodell, John W. & Goutte, Stephane, 2021. "Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 38(C).
    14. Parthajit Kayal & Purnima Rohilla, 2021. "Bitcoin in the economics and finance literature: a survey," SN Business & Economics, Springer, vol. 1(7), pages 1-21, July.
    15. Maneejuk, Paravee & Kaewtathip, Nuttaphong & Jaipong, Peemmawat & Yamaka, Woraphon, 2022. "The transition of the global financial markets' connectedness during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    16. Duan, Kun & Zhao, Yanqi & Urquhart, Andrew & Huang, Yingying, 2023. "Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty," Energy Economics, Elsevier, vol. 127(PA).
    17. Zhong, Meirui & Zhang, Rui & Ren, Xiaohang, 2023. "The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach," Energy Economics, Elsevier, vol. 123(C).
    18. Jiang, Yonghong & Wu, Lanxin & Tian, Gengyu & Nie, He, 2021. "Do cryptocurrencies hedge against EPU and the equity market volatility during COVID-19? – New evidence from quantile coherency analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    19. Fan Zhang & Paresh Kumar Narayan & Neluka Devpura, 2021. "Has COVID-19 changed the stock return-oil price predictability pattern?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-10, December.
    20. Narayan, Paresh Kumar, 2022. "Understanding exchange rate shocks during COVID-19," Finance Research Letters, Elsevier, vol. 45(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:103-:d:1061790. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.