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Volatility and return spillovers between stock markets and cryptocurrencies

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  • Uzonwanne, Godfrey

Abstract

This study verified the presence of returns and volatility spillovers across five major stock markets and the bitcoin market. A multivariate VARMA-AGARCH model was used to model the transmission mechanism of mean return, return spillovers and volatility spillovers between these market pairs. Significant return spillovers and volatility spillovers were observed across these market pairs. Volatility spillovers in some markets were bi-directional and in other markets, uni-directional. We thus conclude that at the peaks and troughs of a stock market, investors migrate between these market pairs to maximize returns and reduce exposure to risk, resulting in return and volatility spillovers between the market pairs.

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  • Uzonwanne, Godfrey, 2021. "Volatility and return spillovers between stock markets and cryptocurrencies," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 30-36.
    • Handle: RePEc:eee:quaeco:v:82:y:2021:i:c:p:30-36
    DOI: 10.1016/j.qref.2021.06.018
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    7. Sharif, Arshian & Brahim, Mariem & Dogan, Eyup & Tzeremes, Panayiotis, 2023. "Analysis of the spillover effects between green economy, clean and dirty cryptocurrencies," Energy Economics, Elsevier, vol. 120(C).
    8. Chen, Ruoyu & Iqbal, Najaf & Irfan, Muhammad & Shahzad, Farrukh & Fareed, Zeeshan, 2022. "Does financial stress wreak havoc on banking, insurance, oil, and gold markets? New empirics from the extended joint connectedness of TVP-VAR model," Resources Policy, Elsevier, vol. 77(C).
    9. Wu, Xinyu & Yin, Xuebao & Umar, Zaghum & Iqbal, Najaf, 2023. "Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
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