Asymmetric connectedness among S&P 500, crude oil, gold and Bitcoin
ISSN: 0307-4358
Article publication date: 1 February 2022
Issue publication date: 9 March 2022
Abstract
Purpose
This paper investigates the dynamic intercorrelation among cryptocurrency (Bitcoin) and conventional financial assets (gold, oil and S&P 500).
Design/methodology/approach
The dynamic contemporaneous nexus has been analyzed using spillover index developed and extended by Diebold and Yilmaz (2012, 2014) and Kyrtsou-Labys (2006) nonlinear causality tests. This study is implemented using the daily data spanning from January 2013 to December 2021.
Findings
First, using the spillover index, the authors find evidence that the S&P 500 was a net transmitter of volatility from oil and gold markets, but a net receiver of volatility from Bitcoin. Return spillovers from crude oil were transmitted first to gold, and Bitcoin markets and return spillovers from gold were transmitted to Bitcoin. Second, Kyrtsou-Labys nonlinear causality tests provide us further insights into the lead-lag interconnections among the four key considered variables from the economic perspective. Specifically, a close inspection of these empirical results, the integration of the four key assets is significant. Similarly, price fluctuation dependency among Bitcoin, stock, gold and oil markets is generally minimal, but it strengthens throughout the COVID-19 period.
Originality/value
This paper is the first study employing the spillover index Diebold-Yilmaz alongside with Kyrtsou-Labys nonlinear causality tests not only to capture the directional return spillover effects but also to highlight the potential presence of asymmetric causality relationships, nonlinear effects among assets under investigation that the previous studies have been ignored in these relations. Therefore, the main contribution of this article to the related literature in this field is significant.
Keywords
Acknowledgements
The authors would like to thank the editor and four anonymous referees for their highly constructive suggestions.
Funding: This research is funded by University of Finance-Marketing, Ho Chi Minh City, Vietnam.
Citation
Hung, N.T. (2022), "Asymmetric connectedness among S&P 500, crude oil, gold and Bitcoin", Managerial Finance, Vol. 48 No. 4, pp. 587-610. https://doi.org/10.1108/MF-08-2021-0355
Publisher
:Emerald Publishing Limited
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