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Persistence and volatility spillovers of bitcoin price to gold and silver prices

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  • Yaya, OlaOluwa S.
  • Lukman, Adewale F.
  • Vo, Xuan Vinh

Abstract

The paper investigates persistence, returns and volatility spillovers from the bitcoin market to the gold and silver markets using daily datasets from January 2, 2018 to July 31, 2020 by employing the fractional persistence framework. The results show strong price persistence with bitcoin posing the highest volatility persistence, while silver poses the lowest volatility persistence. The results of multivariate GARCH modelling, using the CCC-VARMA-GARCH model and other lower variants indicate the impossibility of returns spillover between the bitcoin and gold (or silver) market, while there exist bi-directional volatility spillovers. Appropriate portfolio management and hedging strategies render towards the end of the paper require more gold and silver investments in the portfolio of bitcoin to fully have the diversification advantage and reduce risk to the minimum without reducing the expected returns of their portfolio.

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  • Yaya, OlaOluwa S. & Lukman, Adewale F. & Vo, Xuan Vinh, 2022. "Persistence and volatility spillovers of bitcoin price to gold and silver prices," Resources Policy, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004548
    DOI: 10.1016/j.resourpol.2022.103011
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    Keywords

    Bitcoin; Commodity markets; CCC-VARMA-GARCH model; Volatility spillovers; Portfolio management;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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