Persistence and volatility spillovers of bitcoin price to gold and silver prices

【Author】 Yaya, OlaOluwa S.; Lukman, Adewale F.; Vo, Xuan Vinh

【Source】RESOURCES POLICY

【影响因子】8.222

【Abstract】The paper investigates persistence, returns and volatility spillovers from the bitcoin market to the gold and silver markets using daily datasets from January 2, 2018 to July 31, 2020 by employing the fractional persistence framework. The results show strong price persistence with bitcoin posing the highest volatility persistence, while silver poses the lowest volatility persistence. The results of multivariate GARCH modelling, using the CCC-VARMA-GARCH model and other lower variants indicate the impossibility of returns spillover between the bitcoin and gold (or silver) market, while there exist bi-directional volatility spillovers. Appropriate portfolio management and hedging strategies render towards the end of the paper require more gold and silver investments in the portfolio of bitcoin to fully have the diversification advantage and reduce risk to the minimum without reducing the expected returns of their portfolio.

【Keywords】Bitcoin; Commodity markets; CCC-VARMA-GARCH model; Volatility spillovers; Portfolio management

【发表时间】2022 DEC

【收录时间】2022-10-13

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币