From financial markets to Bitcoin markets: A fresh look at the contagion effect
By R. Matkovskyy, A. Jalan. 2019
122 citations recorded by the source corpus.
This article studies contagion effects between traditional financial markets, represented by five equity indices and the EUR, USD, GBP, and JPY centralized Bitcoin markets. We apply a regime switching skew-normal model of asset returns that distinguishes between linear and non-linear contagion and also structural breaks in the periods. We find significant contagion effects from financial to Bitcoin markets in terms of both correlation and co-skewness of market returns. Our results also indicate that during crisis periods, risk-averse investors tend to move away from risky Bitcoin markets towards safer financial markets.
Subfields: Economics and Econometrics, Information Systems
View Paper: https://www.semanticscholar.org/paper/45d842da4e0bccffb9031cd624db7bebf650d8f0
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Ahmet Sensoy
- K. Al-Yahyaee
- Walid Mensi
- Mobeen Ur Rehman
- Debasish Maitra
- Sang Hoon Kang
- Olivier Kraaijeveld
- J. Smedt
In Information Systems
- K. Al-Yahyaee
- Walid Mensi
- Mobeen Ur Rehman
- Ahmet Sensoy
- Debasish Maitra
- Olivier Kraaijeveld
- J. Smedt
Citations in the corpus
- Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach (2020, result): “Overall, our portfolio results are consistent with those of Mensi et al. (2018) and traditional portfolio management theory, in that portfolio risk rises with increases in co-movements between BTC and Islamic equity markets.”