Proceedings of The 14th International Conference on Modern Research in Management, Economics and Accounting
Volatility spillover effect from Stock market indexes to Bitcoin: Evidence from developed Markets
This paper aims to quantify the volatility spillover impact and the directional predictability from stock market indexes to Bitcoin. Daily data of fifteen developed markets are used for the period March 2017-December 2021.
We use Vector Autoregressive Model and Granger causality test to estimate the results of the study. Empirical results show a significant unidirectional volatility spillover impact and directional predictability from Nikkei in Japan, KOSPI Composite Index in South Korea and OMX Stockholm 30 in Sweden to bitcoin. However, a shock to the remaining twelve stock indexes does not provoke an increase in the volatility of Bitcoin. Thus, we suggest that Bitcoin may serve as a hedge asset.
keywords: Granger Causality, Time Series, Vector Autoregressive Model, Stock Markets, Cryptocurrency, Volatility spillover, Directional predictability.