Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets
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-M...
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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/9912418 |
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| _version_ | 1850176789525037056 |
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| author | Jing Zhang Qi-zhi He |
| author_facet | Jing Zhang Qi-zhi He |
| author_sort | Jing Zhang |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-bb1f809f36624544980a6529cf3a841b |
| institution | OA Journals |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-bb1f809f36624544980a6529cf3a841b2025-08-20T02:19:11ZengWileyComplexity1076-27871099-05262021-01-01202110.1155/2021/99124189912418Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock MarketsJing Zhang0Qi-zhi He1School of Economics and Management, Southeast University, Nanjing, Jiangsu, ChinaSchool of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou, Zhejiang, ChinaThis 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.http://dx.doi.org/10.1155/2021/9912418 |
| spellingShingle | Jing Zhang Qi-zhi He Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets Complexity |
| title | Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets |
| title_full | Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets |
| title_fullStr | Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets |
| title_full_unstemmed | Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets |
| title_short | Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets |
| title_sort | dynamic cross market volatility spillover based on msv model evidence from bitcoin gold crude oil and stock markets |
| url | http://dx.doi.org/10.1155/2021/9912418 |
| work_keys_str_mv | AT jingzhang dynamiccrossmarketvolatilityspilloverbasedonmsvmodelevidencefrombitcoingoldcrudeoilandstockmarkets AT qizhihe dynamiccrossmarketvolatilityspilloverbasedonmsvmodelevidencefrombitcoingoldcrudeoilandstockmarkets |