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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Bibliographic Details
Published inComplexity (New York, N.Y.) Vol. 2021; no. 1
Main Authors Zhang, Jing, He, Qi-zhi
Format Journal Article
LanguageEnglish
Published Hoboken Hindawi 2021
Hindawi Limited
Hindawi-Wiley
Subjects
Causality
Correlation
Crude oil
Digital currencies
Futures
Gold
Hedging
Investments
Parameter estimation
Securities markets
Stock exchanges
Volatility
United States > US
Chicago Illinois
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Summary: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.
ISSN:1076-2787
1099-0526
DOI:10.1155/2021/9912418