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Corbet, S., Katsiampa, P. orcid.org/0000-0003-0477-6503 and Lau, C.K.M. (2020) Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets. International Review of Financial Analysis, 71. 101571. ISSN 1057-5219
Abstract
This paper studies causal relationships and the potential of improving conditional quantile forecasting between Bitcoin and seven altcoin markets as well as between Bitcoin and three mainstream assets, namely gold, oil, and the S&P500, by applying the Granger-causality in distribution and in quantiles tests. We find significant bidirectional causality between Bitcoin and all altcoins and assets considered in the two distribution tails. An enhanced forecast of Bitcoin price returns is thus derived by conditioning on altcoins or assets and vice versa during extreme market conditions. However, under normal market conditions the results for the centre of the distribution of the Bitcoin price returns conditional on altcoins depend on both the altcoin considered and quantile under investigation. We also find evidence that Bitcoin is not isolated from financial markets, while this developing financial asset is a strong safe-haven for oil and a weak safe-haven for S&P500, but it cannot be considered as either a weak or strong safe-haven for gold. Our results reveal a more complete relationship between Bitcoin and altcoins as well as financial assets than was previously considered.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2020 The Authors. Published by Elsevier Inc. This is an Open Access article distributed under the terms of the Creative Commons Attribution Licence (http://creativecommons.org/licenses/by/4.0). |
Keywords: | Bitcoin; Cryptocurrency; Granger causality in distribution; Quantile dependence; Directional predictability; Cross-quantilogram |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 13 Oct 2020 09:38 |
Last Modified: | 17 Jan 2024 11:35 |
Status: | Published |
Publisher: | Elsevier |
Refereed: | Yes |
Identification Number: | 10.1016/j.irfa.2020.101571 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:166002 |
Available Versions of this Item
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Measuring quantile dependence and testing directional predictability between Bitcoin, Altcoins and traditional financial assets. (deposited 17 Jan 2024 11:31)
- Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets. (deposited 13 Oct 2020 09:38) [Currently Displayed]