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

被引：139

作者：

Bouri, Elie ^{[1
]}

Gupta, Rangan ^{[2
]}

Lau, Chi Keung Marco ^{[3
]}

Roubaud, David ^{[4
]}

Wang, Shixuan ^{[5
]}

机构：

[1] Holy Spirit Univ Kaslik, USEK Business Sch, POB 446, Jounieh, Lebanon

[2] Univ Pretoria, Dept Econ, ZA-0002 Pretoria, South Africa

[3] Univ Huddersfield, Huddersfield Business Sch, Dept Accountancy Finance & Econ, Huddersfield HD1 3DH, W Yorkshire, England

[4] Montpellier Business Sch, ESD, Montpellier, France

[5] Cardiff Univ, Cardiff Business Sch, Cardiff CF10 3EU, S Glam, Wales

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2018年 / 69卷

关键词：

Bitcoin; Global financial stress index; Dependence; Copula Quantiles; DIRECTIONAL PREDICTABILITY; VOLATILITY; MARKETS; MODELS; HEDGE;

D O I：

10.1016/j.qref.2018.04.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2018 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

引用

页码：297 / 307

页数：11

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