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Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets

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  • Jing Zhang
  • Qi-zhi He
  • M. Irfan Uddin

Abstract

This paper examines the spillover effect between bitcoin, gold, crude oil, and major stock markets by using the MSV model with dynamic correlation and Granger causality. The empirical results of the DC-GC-MSV model are logically correct and convergent. The DIC test result has proved that the DC-GC-MSV model is better and more accurate. Bitcoin has no significant Granger causality spillover effect than other assets. As a safe haven product for stock assets, gold price has one-way spillover effect from stock market volatility. Moreover, crude oil has the highest correlation with the stock market. In the recent COVID-19 epidemic and the sluggish economic environment, investors need to consider a balanced asset allocation among low-correlation assets, medium-correlation assets, and high-correlation assets to reduce risks.

Suggested Citation

  • Jing Zhang & Qi-zhi He & M. Irfan Uddin, 2021. "Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets," Complexity, Hindawi, vol. 2021, pages 1-8, April.
    • Handle: RePEc:hin:complx:9912418
    DOI: 10.1155/2021/9912418
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    Cited by:

    1. Nurkhodzha Akbulaev & Tural Abdulhasanov, 2023. "Analyzing the Connection between Energy Prices and Cryptocurrency throughout the Pandemic Period," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 227-234, January.
    2. Ruzita Abdul-Rahim & Airil Khalid & Zulkefly Abdul Karim & Mamunur Rashid, 2022. "Exploring the Driving Forces of Stock-Cryptocurrency Comovements during COVID-19 Pandemic: An Analysis Using Wavelet Coherence and Seemingly Unrelated Regression," Mathematics, MDPI, vol. 10(12), pages 1-19, June.
    3. Na Fu & Liyan Geng & Junhai Ma & Xue Ding, 2023. "Price, Complexity, and Mathematical Model," Mathematics, MDPI, vol. 11(13), pages 1-30, June.
    4. Longbing Cao, 2021. "AI in Finance: Challenges, Techniques and Opportunities," Papers 2107.09051, arXiv.org.
    5. Onur Özdemir, 2022. "Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.

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