【Author】
Hou, Yang (Greg); Li, Yujia; Hu, Yang; Oxley, Les
【Source】EUROPEAN JOURNAL OF FINANCE
【Abstract】As the popularity of Bitcoin among finance communities continues, research on the relationship between Bitcoin and conventional commodities is becoming increasingly important. However, to date the literature has not yet found clear evidence of the dynamics of informational linkages between Bitcoin and the crude oil markets. This paper considers both static and time-varying information transmission of volatility, skewness and kurtosis, between two popular Bitcoin markets, Bitstamp and ItBit, and two major crude oil markets, WTI and Brent crude oil. A two-state regime-switching model is employed to estimate higher order moments and Legendre polynomials are applied to specify the time variations of spillovers. In addition, the latent impacts of the recent US-China trade war on spillovers are also explored. We conclude that crude oil is an information transmitter while Bitcoin is an information receiver in terms of the static and time-varying between-market transmission of three types of risk. The effect is affected by the occurrence of the trade war such that the information content of Bitcoin is enhanced once it begins. Moreover, Bitcoin is a diversifier for oil risk and this effect becomes more pronounced in the post-trade war period.
【Keywords】Bitcoin; crude oil markets; spillovers of higher moments; regime-switching model; US-China trade war
【文献类型】Article; Early Access
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