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Deciphering the cryptocurrency conundrum: Investigating speculative characteristics and volatility

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  • Bajra, Ujkan Q.
  • Aliu, Florin

Abstract

This study employs Time-Varying Parameter Vector Autoregression (TVP-VAR) to analyze spillover effects among ten financial instruments spanning 395 weeks, encompassing significant events such as the 2016/17 cryptocurrency surge, the COVID-19 pandemic, and the Ukraine conflict. The research highlights Bitcoin's influence on equities and commodities, influenced by evolving factors, regulatory uncertainties, and market sentiment. Equity indices both transmit and absorb shocks, while commodities intensify market volatility. Overall, Bitcoin notably impacts speculative assets such as equity indices, with a moderated influence on less speculative assets, emphasizing its pivotal role in dynamic financial markets subject to changing regulations.

Suggested Citation

  • Bajra, Ujkan Q. & Aliu, Florin, 2023. "Deciphering the cryptocurrency conundrum: Investigating speculative characteristics and volatility," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009613
    DOI: 10.1016/j.frl.2023.104589
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    References listed on IDEAS

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    2. Bajra, Ujkan Q. & Ermir Rogova, & Avdiaj, Sefer, 2024. "Cryptocurrency blockchain and its carbon footprint: Anticipating future challenges," Technology in Society, Elsevier, vol. 77(C).

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