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

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The asymmetric effect of volatility spillover in global virtual financial asset markets: the case of Bitcoin. / Dong, Hao; Chen, Liming; Zhang, Xinyi; Failler, Pierre; Xu, Sa.

In: Emerging Markets Finance and Trade, 10.10.2019.

Research output: Contribution to journalArticle

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Dong, Hao ; Chen, Liming ; Zhang, Xinyi ; Failler, Pierre ; Xu, Sa. / The asymmetric effect of volatility spillover in global virtual financial asset markets: the case of Bitcoin. In: Emerging Markets Finance and Trade. 2019.

Bibtex

@article{42a2d7d1a4ca415599c704b1b6ef9a69,
title = "The asymmetric effect of volatility spillover in global virtual financial asset markets: the case of Bitcoin",
abstract = "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.",
keywords = "asymmetric effect, Bitcoin, Markov regime-switching VAR model, virtual financial assets, volatility spillover, embargoover12",
author = "Hao Dong and Liming Chen and Xinyi Zhang and Pierre Failler and Sa Xu",
year = "2019",
month = "10",
day = "10",
doi = "10.1080/1540496X.2019.1671819",
language = "English",
journal = "Emerging Markets Finance and Trade",
issn = "1540-496X",
publisher = "Taylor and Francis Ltd.",

}

RIS

TY - JOUR

T1 - The asymmetric effect of volatility spillover in global virtual financial asset markets: the case of Bitcoin

AU - Dong, Hao

AU - Chen, Liming

AU - Zhang, Xinyi

AU - Failler, Pierre

AU - Xu, Sa

PY - 2019/10/10

Y1 - 2019/10/10

N2 - 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.

AB - 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.

KW - asymmetric effect

KW - Bitcoin

KW - Markov regime-switching VAR model

KW - virtual financial assets

KW - volatility spillover

KW - embargoover12

U2 - 10.1080/1540496X.2019.1671819

DO - 10.1080/1540496X.2019.1671819

M3 - Article

JO - Emerging Markets Finance and Trade

JF - Emerging Markets Finance and Trade

SN - 1540-496X

ER -

ID: 15979374