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Cryptocurrencies, Fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve

Author

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  • Anwar Hasan Abdullah Othman
  • Syed Musa Alhabshi
  • Razali Haron

Abstract

This study investigates whether symmetric and asymmetric volatility effects are persisted in the daily return series of Bitcoin currency compared to the gold and fiat money system using GARCH family models. The symmetric analysis shows that the three monetary systems exhibit time-varying volatility with high persistence and predictability behaviour whereas asymmetric analysis indicates that Bitcoin currency and gold are not significantly respond to asymmetric information effects in the financial markets however, the US dollar index is affected by the positive shocks. This suggesting Bitcoin and gold have the capability for hedging or safe-haven assets against market risk specifically during times of economic turmoil. Evidence suggests that cryptocurrency is a potential alternative to current fiat money system, offering benefit for policy makers and a good investment option for positional investors in terms of hedging, portfolio diversification strategy and risk management.

Suggested Citation

  • Anwar Hasan Abdullah Othman & Syed Musa Alhabshi & Razali Haron, 2019. "Cryptocurrencies, Fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 12(2), pages 75-97.
    • Handle: RePEc:ids:ijmefi:v:12:y:2019:i:2:p:75-97
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    Cited by:

    1. Anwar Hasan Abdullah Othman & Salina Kassim & Romzie Bin Rosman & Nur Harena Binti Redzuan, 2020. "Prediction accuracy improvement for Bitcoin market prices based on symmetric volatility information using artificial neural network approach," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 19(5), pages 314-330, October.

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