Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles
By Elie Bouri, Rangan Gupta, Chi Keung Marco Lau, David Roubaud, Shixuan Wang. Quarterly Review of Economics and Finance, 2018
190 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Information Systems
View Paper: https://www.semanticscholar.org/paper/bcf19c53481cb0ea5179851aa9d6f627e12dfe62
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
- Elie Bouri
- David Roubaud
- Rangan Gupta
- Aviral Kumar Tiwari
- Giray Gozgor
- Ender Demir
- Mahamitra Das
- Sagi Akron
In Information Systems
- Elie Bouri
- Rangan Gupta
- David Roubaud
- Mahamitra Das
- Aviral Kumar Tiwari
- Giray Gozgor
- Ender Demir
- Andrew Urquhart
Citations in the corpus
- The relationship between Bitcoin returns and trade policy uncertainty (2019, result): “The main evidence in our paper is in line with the previous findings of the papers of Bouri et al. (2017a) and Demir et al. (2018), in which they use the VIX and the EPU in the USA for analyzing the Uncertainty-Bitcoin returns nexus, respectively.”
- Spillovers between Bitcoin and other assets during bear and bull markets (2018, background): “…P.O. Box 446, Jounieh, Lebanon © 2018 Informa UK Limited, trading as Taylor & Francis Group Rajcaniova, and Kancs 2016), macroeconomic news surprises (Al-Khazali, Bouri, and Roubaud 2018), energy and non-energy commodities (Bouri et al. 2017b) and global uncertainty (Bouri et al. 2017a, 2018).”