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The asymmetric effect of volatility spillover in global virtual financial asset markets: the case of Bitcoin

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In this paper, we measure the asymmetric volatility spillover among six virtual financial asset (VFA) markets from January 1, 2014, to September 30, 2017, using the volatility spillover index based on a Markov regime-switching vector autoregressive (VAR) model and conduct a static and dynamic analysis under different regimes. The static results show that asymmetric effects of total, internal and net volatility spillover, on average, exist in all six VFA markets under different regimes. The dynamic results show that total, directional, and net spillover have significantly asymmetric effects. Thus, the government should monitor the specific VFA regimes and improve market regulation.
Original languageEnglish
Pages (from-to)1293-1311
Number of pages19
JournalEmerging Markets Finance and Trade
Issue number6
Early online date10 Oct 2019
Publication statusPublished - 2 May 2020


  • FAILLER_2019_cright_EMFT_Asymmetric effect of volatility spillover in global Virtual Financial Assets (VFAs) markets

    Rights statement: This is an Accepted Manuscript of an article published by Taylor & Francis in Emerging Markets Finance and Trade on 10.10.2019, available online:

    Accepted author manuscript (Post-print), 1.08 MB, PDF document

    Due to publisher’s copyright restrictions, this document is not freely available to download from this website until: 10/04/21

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