How Does Uncertainty Affect Volatility Correlation between Financial Assets? Evidence from Bitcoin, Stock and Gold

【Author】 Li, Zheng-Zheng; Su, Chi-Wei; Zhu, Meng Nan

【Source】EMERGING MARKETS FINANCE AND TRADE

【影响因子】4.859

【Abstract】This paper deciphers the correlation of volatility between Bitcoin, stock and gold, in the context of uncertainty. The wavelet analysis results indicate that the selected assets are primarily positively correlated with each other, specifically in periods when the economic policy uncertainty (EPU) is high. Furthermore, the logit regression confirms that the EPU and categorial EPU indices have heterogeneous effects on the interdependence between Bitcoin, the S&P 500 and gold. Therefore, our findings provide insights for policy-makers to reduce the adverse impact of uncertainty on financial asset volatility.

【Keywords】Economic policy uncertainty; wavelet analysis; logit regression; the safe haven

【发表时间】

【收录时间】2022-01-01

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