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The Asymmetric Effect of Volatility Spillover in Global Virtual Financial Asset Markets: The Case of Bitcoin

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  • Hao Dong
  • Liming Chen
  • Xinyi Zhang
  • Pierre Failler
  • Sa Xu

Abstract

In this paper, we measure the asymmetric volatility spillover among six virtual financial asset (VFA) markets from January 1, 2014, to September 30, 2017, using the volatility spillover index based on a Markov regime-switching vector autoregressive (VAR) model and conduct a static and dynamic analysis under different regimes. The static results show that asymmetric effects of total, internal and net volatility spillover, on average, exist in all six VFA markets under different regimes. The dynamic results show that total, directional, and net spillover have significantly asymmetric effects. Thus, the government should monitor the specific VFA regimes and improve market regulation.

Suggested Citation

  • Hao Dong & Liming Chen & Xinyi Zhang & Pierre Failler & Sa Xu, 2020. "The Asymmetric Effect of Volatility Spillover in Global Virtual Financial Asset Markets: The Case of Bitcoin," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(6), pages 1293-1311, May.
    • Handle: RePEc:mes:emfitr:v:56:y:2020:i:6:p:1293-1311
    DOI: 10.1080/1540496X.2019.1671819
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    Citations

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    Cited by:

    1. Larisa V. Sannikova, 2022. "Risks of Using Cryptoassets in Russia and the Potential for Mitigation," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 124-138, December.
    2. Qingqing Hu & Tinghui Li & Xue Li & Hao Dong, 2021. "Dynamic Characteristics of Oil Attributes and Their Market Effects," Energies, MDPI, vol. 14(13), pages 1-22, June.
    3. Bazán-Palomino, Walter, 2021. "How are Bitcoin forks related to Bitcoin?," Finance Research Letters, Elsevier, vol. 40(C).
    4. Sheng, Lin Wen & Uddin, Gazi Salah & Sen, Ding & Hao, Zhu Shi, 2024. "The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference," International Review of Financial Analysis, Elsevier, vol. 91(C).
    5. Yanqiong Liu & Zhenghui Li & Yanyan Yao & Hao Dong, 2021. "Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil," Energies, MDPI, vol. 14(13), pages 1-22, July.

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