Asymmetric connectedness among S&P 500, crude oil, gold and Bitcoin. Issue 4 (1st February 2022)

• Record Type: Journal Article
• Authors: Hung, Ngo Thai
• Is Part Of: Managerial finance. Volume 48:Issue 4(2022)
• Page Start: 587
• Page End: 610
• Publication Date: 2022-02-01
• Subjects: S&P 500 -- Oil price -- Gold price -- Spillover index and nonlinear causality; Corporations -- Finance -- Periodicals; Business enterprises -- Finance -- Periodicals; 658.1505
• DOI: 10.1108/MF-08-2021-0355
• Languages: English
• ISSNs: 0307-4358

Abstract

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.