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首页> 外文期刊>The North American journal of economics and finance >High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets
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High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets

机译：比特币与主要贵金属市场之间的高频非对称波动连接

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摘要

This study examines the asymmetric volatility connectedness between Bitcoin and major precious metals markets (gold, silver, palladium, and platinum). We use high-frequency data with methodologies introduced by Diebold and Yilmaz (2014) and Barunik, Kaccenda, and Vacha (2017). The results show evidence of significant volatility spillover effects between Bitcoin and precious metals. Moreover, the risk spillovers vary over time and are sensitive to slowdowns in economic activity and political events (e.g., the Brexit vote and the US presidential election). Palladium is the largest net contributor of spillovers while Bitcoin is a net recipient. Finally, evidence of asymmetry in semi-volatility transmission shows that Bitcoin heavily transmits netpositive spillovers to other assets. The results of our research are of interest and importance to investors, portfolio managers, and policy-makers, as the results can readily inform their decision-making.
机译：这项研究研究了比特币与主要贵金属市场（金，银，钯和铂）之间的不对称波动性联系。我们将高频数据与Diebold和Yilmaz（2014）以及Barunik，Kaccenda和Vacha（2017）引入的方法一起使用。结果表明，比特币和贵金属之间存在明显的波动性溢出效应。此外，风险溢出随时间变化，并且对经济活动和政治事件（例如，英国退欧投票和美国总统选举）的放缓敏感。钯金是溢出的最大净贡献者，而比特币是净接受者。最后，半波动率传递中不对称的证据表明，比特币大量将净正溢出效应传递给其他资产。我们的研究结果对投资者，投资组合经理和政策制定者具有重要意义，因为这些结果可以很容易地为他们的决策提供依据。

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