Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles

【Author】 Bouri, Elie; Gupta, Rangan; Lau, Chi Keung Marco; Roubaud, David; Wang, Shixuan

【Source】QUARTERLY REVIEW OF ECONOMICS AND FINANCE

【影响因子】4.324

【Abstract】We apply different techniques and uncover the quantile conditional dependence between the global financial stress index and Bitcoin returns from July 18, 2010, to December 29, 2017. The results from the copula-based dependence show evidence of right-tail dependence between the global financial stress index and Bitcoin returns. We focus on the conditional quantile dependence and indicate that the global financial stress index strongly Granger-causes Bitcoin returns at the left and right tail of the distribution of the Bitcoin returns, conditional on the global financial stress index. Finally, we use a bivariate cross-quantilogram approach and show only limited directional predictability from the global financial stress index to Bitcoin returns in the medium term, for which Bitcoin can act as a safe-haven against global financial stress. (C) 2018 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

【Keywords】Bitcoin; Global financial stress index; Dependence; Copula Quantiles

【发表时间】2018 AUG

【收录时间】2022-01-02

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