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Return and Volatility Linkages between Bitcoin, Gold Price, and Oil Price: Evidence from Diagonal BEKK–GARCH Model

In: Environmental, Social, and Governance Perspectives on Economic Development in Asia

Author

Listed:
  • Surachai Chancharat
  • Julaluk Butda

Abstract

This chapter examines the dynamic linkages between the returns of Bitcoin, gold, and oil by using daily closing price data between July 17, 2010 and January 8, 2021. This study applies the diagonal BEKK–GARCH model for the purpose of analyzing a volatility spillover of variables in positive or negative ways. The empirical results show that the lagged returns inversely affect their current returns in oil. Based on the return spillovers between Bitcoin and gold, the empirical results indicate a unidirectional return spillover from Bitcoin to gold. Moreover, the authors found a unidirectional return transmission is observed from oil to Bitcoin, implying that oil returns are useful in forecasting Bitcoin returns. These findings are not only valuable for understanding of the interrelationships between the returns of Bitcoin, gold, and oil, but they are also of great interest to portfolio managers, investors, and investment funds that are actively dealing in Bitcoin, gold, and oil.

Suggested Citation

  • Surachai Chancharat & Julaluk Butda, 2021. "Return and Volatility Linkages between Bitcoin, Gold Price, and Oil Price: Evidence from Diagonal BEKK–GARCH Model," International Symposia in Economic Theory and Econometrics, in: Environmental, Social, and Governance Perspectives on Economic Development in Asia, volume 29, pages 69-81, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:isetez:s1571-03862021000029a019
    DOI: 10.1108/S1571-03862021000029A019
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    More about this item

    Keywords

    Bitcoin; dynamic linkage; gold price; multivariate GARCH; oil price; volatility; C22; G15; Q02;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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