Time–frequency quantile dependence between Bitcoin and global equity markets

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12 Citations (Scopus)

Abstract

In this paper, we examine return dependence between Bitcoin and stock market returns using a novel quantile cross-spectral dependence approach. The results suggest a right-tail (high return) dependence between Bitcoin and the stock markets in the long term and that said dependence decreases significantly from yearly to monthly investment horizons. Furthermore, right-tail dependence between Bitcoin and the US stock market is the strongest compared with other stock markets. We also extract information on the time-varying and time–frequency structure of co-movements between Bitcoin and the stock markets using wavelet-coherence analysis, the results of which suggest that the co-movement between Bitcoin and the US stock market is positive, whereas, for other stock markets, it is negative at certain frequencies and time periods. Overall, the findings highlight additional risk-management capabilities of Bitcoin according to different stock markets.

Original languageEnglish
Article number101355
JournalNorth American Journal of Economics and Finance
Volume56
DOIs
Publication statusPublished - Apr 2021

Keywords

  • Bitcoin
  • Causality-in-quantiles
  • Diversification
  • Quantile cross-spectral dependence
  • Stock markets
  • Wavelet coherence

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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