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Bitcoin and global financial stress: a copula-based approach to dependence and causality in the quantiles

Bouri, E., Gupta, R., Lau, C. K. M., Roubaud, D. and Wang, S. (2018) Bitcoin and global financial stress: a copula-based approach to dependence and causality in the quantiles. The Quarterly Review of Economics and Finance, 69. pp. 297-307. ISSN 1062-9769

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To link to this item DOI: 10.1016/j.qref.2018.04.003

Abstract/Summary

We apply different techniques and uncover the quantile conditional dependence between the global financial stress index and Bitcoin returns from July 18, 2010, to December 29, 2017. The results from the copula-based dependence show evidence of right-tail dependence between the global financial stress index and Bitcoin returns. We focus on the conditional quantile dependence and indicate that the global financial stress index strongly Granger-causes Bitcoin returns at the left and right tail of the distribution of the Bitcoin returns, conditional on the global financial stress index. Finally, we use a bivariate cross-quantilogram approach and show only limited directional predictability from the global financial stress index to Bitcoin returns in the medium term, for which Bitcoin can act as a safe-haven against global financial stress.

Item Type:Article
Refereed:Yes
Divisions:Faculty of Arts, Humanities and Social Science > School of Politics, Economics and International Relations > Economics
ID Code:79660
Publisher:Elsevier

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