From financial markets to Bitcoin markets: A fresh look at the contagion effect

Abstract : This article studies contagion effects between traditional financial markets, represented by five equity indices and the EUR, USD, GBP, and JPY centralized Bitcoin markets. We apply a regime switching skew-normal model of asset returns that distinguishes between linear and non-linear contagion and also structural breaks in the periods. We find significant contagion effects from financial to Bitcoin markets in terms of both correlation and co-skewness of market returns. Our results also indicate that during crisis periods, risk-averse investors tend to move away from risky Bitcoin markets towards safer financial markets.
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https://hal-rennes-sb.archives-ouvertes.fr/hal-02131637
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Submitted on : Thursday, May 16, 2019 - 2:43:20 PM
Last modification on : Friday, May 17, 2019 - 1:05:27 AM

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Roman Matkovskyy, Akanksha Jalan. From financial markets to Bitcoin markets: A fresh look at the contagion effect. Finance Research Letters, Elsevier, 2019, 31, pp.93-97. ⟨10.1016/j.frl.2019.04.007⟩. ⟨hal-02131637⟩

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