Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices
Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices
This paper examines the dynamic connectedness of return- and volatility spillovers among cryptocurrency index (CRIX), Gold, and uncertainty measures. Apart from traditional uncertainty measures, we also consider two novel uncertainty measures: Cryptocurrency Policy Uncertainty and Cryptocurrency Price Uncertainty indices. We observe that cryptocurrency policy uncertainty is the main transmitter of the return spillovers to other variables. In addition, Gold is a net receiver of both the return and the volatility spillovers. These results are valid under bearish, bullish, and normal market conditions. Our findings contribute to the literature considering the spillover effect between cryptocurrencies and other assets and their determinants.
Policy uncertainty, cryptocurrency uncertainty index, dynamic connectedness, gold, price uncertainty
Elsayed, Ahmed H.
fd4ed0bd-14e7-4fcc-9ff0-bfb3e3efff14
Gozgor, Giray
bdc8cabd-6fc3-4d7b-a35a-67ae84c8e439
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Elsayed, Ahmed H.
fd4ed0bd-14e7-4fcc-9ff0-bfb3e3efff14
Gozgor, Giray
bdc8cabd-6fc3-4d7b-a35a-67ae84c8e439
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Elsayed, Ahmed H., Gozgor, Giray and Yarovaya, Larisa
(2022)
Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices.
Finance Research Letters, [102732].
(doi:10.1016/j.frl.2022.102732).
Abstract
This paper examines the dynamic connectedness of return- and volatility spillovers among cryptocurrency index (CRIX), Gold, and uncertainty measures. Apart from traditional uncertainty measures, we also consider two novel uncertainty measures: Cryptocurrency Policy Uncertainty and Cryptocurrency Price Uncertainty indices. We observe that cryptocurrency policy uncertainty is the main transmitter of the return spillovers to other variables. In addition, Gold is a net receiver of both the return and the volatility spillovers. These results are valid under bearish, bullish, and normal market conditions. Our findings contribute to the literature considering the spillover effect between cryptocurrencies and other assets and their determinants.
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Revised Paper Volaitlity and Return Connectedness
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Accepted/In Press date: 13 February 2022
e-pub ahead of print date: 15 February 2022
Keywords:
Policy uncertainty, cryptocurrency uncertainty index, dynamic connectedness, gold, price uncertainty
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Local EPrints ID: 455102
URI: http://eprints.soton.ac.uk/id/eprint/455102
ISSN: 1544-6123
PURE UUID: 3b3ec11c-66e3-4fe1-8d32-1d485906c789
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Date deposited: 09 Mar 2022 17:37
Last modified: 28 Apr 2022 02:26
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Author:
Ahmed H. Elsayed
Author:
Giray Gozgor
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