Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach |
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| Institution: | 1. Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Opletalova 26, 110 00 Prague, Czech republic;2. Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Pod Vodarenskou Vezi 4, 182 00 Prague, Czech Republic;1. School of Finance, Southwestern University of Finance and Economics, Chengdu, Sichuan 611130, China;2. Department of Statistics, Columbia University, New York City 10027, USA |
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| Abstract: | In order to challenge the existing literature that points to the detachment of Bitcoin from the global financial system, we use daily data from August 17, 2011–February 14, 2020 and apply a risk spillover approach based on expectiles. Results show reasonable evidence to imply the existence of downside risk spillover between Bitcoin and four assets (equities, bonds, currencies, and commodities), which seems to be time dependent. Our main findings have implications for participants in both the Bitcoin and traditional financial markets for the sake of asset allocation, and risk management. For policy makers, the findings suggest that Bitcoin should be monitored carefully for the sake of financial stability. |
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| Keywords: | Bitcoin Financial markets Asset classes Downside risk spillover Expectile VaR CAR-ARCHE |
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