The increased interest in Bitcoin and the immediate and long-term impact of Bitcoin volatility on global stock markets

Walter Bazán-Palomino

doi:10.1016/j.eap.2023.10.001

The increased interest in Bitcoin and the immediate and long-term impact of Bitcoin volatility on global stock markets

Walter Bazán-Palomino

Producción científica: Contribución a una revista › Artículo de revista › revisión exhaustiva

Resumen

Recientemente, inversores minoristas e institucionales han comenzado a incluir Bitcoin en sus carteras, creando un canal de transmisión para la volatilidad de Bitcoin y, por lo tanto, aumentando las preocupaciones regulatorias. Utilizando datos intradiarios desde 2013 hasta 2022, propongo un modelo econométrico dinámico para examinar en qué medida la volatilidad de Bitcoin se transmite a los mercados bursátiles de América del Norte, Europa y Asia-Pacífico en diferentes frecuencias: contemporánea y a largo plazo. Mis hallazgos desafían la literatura anterior que encontró un riesgo de volatilidad de Bitcoin mínimo y no duradero. Proporciono evidencia de que, desde marzo de 2020, hubo un aumento sustancial en la transmisión de volatilidad contemporánea en todas las regiones. Sin embargo, el efecto a largo plazo de Bitcoin en los mercados norteamericanos y tres mercados europeos disminuyó, mientras que permaneció significativo en la mayoría de los mercados de Asia-Pacífico. Por lo tanto, los responsables de las políticas deberían coordinar acciones a nivel regional para mitigar los riesgos para la estabilidad financiera. Asimismo, la volatilidad de Bitcoin es relevante para los inversores al decidir sobre el tamaño y el momento de sus inversiones.

Idioma original	Inglés
Páginas (desde-hasta)	1080-1095
Número de páginas	16
Publicación	Economic Analysis and Policy
Volumen	80
DOI	https://doi.org/10.1016/j.eap.2023.10.001
Estado	Publicada - dic. 2023

Nota bibliográfica

Publisher Copyright:
© 2023 Economic Society of Australia, Queensland

Palabras clave

Volatilidad de Bitcoin
Transmisión de volatilidad
Contagio contemporáneo
Contagio a largo plazo
Mercados bursátiles

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title = "The increased interest in Bitcoin and the immediate and long-term impact of Bitcoin volatility on global stock markets",

abstract = "Recently retail and institutional investors have begun to include Bitcoin in their portfolios, creating a transmission channel for Bitcoin volatility and therefore increasing regulatory concerns. Using intraday data from 2013 to 2022, I propose a dynamic econometric model to examine the extent to which Bitcoin volatility is transmitted to stock markets in North America, Europe, and Asia-Pacific at different frequencies: contemporaneous and long-run. My findings challenge previous literature which has found Bitcoin volatility risk minimal and not long-lasting. I provide evidence that, since March 2020, there was a substantial increase in contemporaneous volatility transmission in all regions. However, the long-term effect of Bitcoin on North American and three European markets diminished, while it remained significant in most Asia-Pacific markets. Hence, policymakers should coordinate actions at the regional level to mitigate financial stability risks. Likewise, Bitcoin volatility is relevant for investors when deciding on the sizes and timing of their investments.",

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author = "Walter Baz{\'a}n-Palomino",

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AU - Bazán-Palomino, Walter

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AB - Recently retail and institutional investors have begun to include Bitcoin in their portfolios, creating a transmission channel for Bitcoin volatility and therefore increasing regulatory concerns. Using intraday data from 2013 to 2022, I propose a dynamic econometric model to examine the extent to which Bitcoin volatility is transmitted to stock markets in North America, Europe, and Asia-Pacific at different frequencies: contemporaneous and long-run. My findings challenge previous literature which has found Bitcoin volatility risk minimal and not long-lasting. I provide evidence that, since March 2020, there was a substantial increase in contemporaneous volatility transmission in all regions. However, the long-term effect of Bitcoin on North American and three European markets diminished, while it remained significant in most Asia-Pacific markets. Hence, policymakers should coordinate actions at the regional level to mitigate financial stability risks. Likewise, Bitcoin volatility is relevant for investors when deciding on the sizes and timing of their investments.

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KW - Volatility transmission

KW - Contemporaneous contagion

KW - Long-term contagion

KW - Stock markets

KW - Volatilidad de Bitcoin

KW - Transmisión de volatilidad

KW - Contagio contemporáneo

KW - Contagio a largo plazo

KW - Mercados bursátiles

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VL - 80

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EP - 1095

JO - Economic Analysis and Policy

JF - Economic Analysis and Policy

ER -

The increased interest in Bitcoin and the immediate and long-term impact of Bitcoin volatility on global stock markets

Resumen

Nota bibliográfica

Palabras clave

ODS de las Naciones Unidas

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