IDEAS home Printed from https://ideas.repec.org/a/ids/ijecbr/v28y2024i1p44-64.html
   My bibliography  Save this article

Asymmetric volatility spillovers between Bitcoin, oil and precious metals

Author

Listed:
  • Houda Ben Mabrouk
  • Imen Ben Khalifa

Abstract

This paper examines the asymmetric spillovers between Bitcoin, oil and four precious metals (silver, gold, platinum and palladium) on daily returns from 18 August 2011 to 2 October 2019. Using a modified version of the Dieblod and Yilmaz (2012, 2014) index and a similar approach to Baruník (2017), our results indicate slight volatility spillovers between the whole systems. Moreover, the results show that gold is the most influential market since it shifts the highest proportion of volatility. Furthermore, we find that oil, Bitcoin and platinum can serve as a hedge and a diversifier as they are neutral in terms of spillovers. Moreover, we find evidence of asymmetric volatility spillovers since good spillovers dominate bad one, which proves the optimistic mood of the whole system. More interestingly, our results shed light on the ability of Bitcoin, the digital gold, to serve as a hedge and diversifier in both good and bad innovations.

Suggested Citation

  • Houda Ben Mabrouk & Imen Ben Khalifa, 2024. "Asymmetric volatility spillovers between Bitcoin, oil and precious metals," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 28(1), pages 44-64.
    • Handle: RePEc:ids:ijecbr:v:28:y:2024:i:1:p:44-64
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=139290
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sila, Jan & Kocenda, Evzen & Kristoufek, Ladislav & Kukacka, Jiri, 2024. "Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 96(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijecbr:v:28:y:2024:i:1:p:44-64. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=310 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.