Corbet, Shaen ORCID: 0000-0001-7430-7417, Katsiampa, Paraskevi ORCID: 0000-0003-0477-6503 and Lau, Marco Chi Keung ORCID: 0000-0002-2430-5592 (2020) Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets. International Review of Financial Analysis, 71 . 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 (Published) |
---|---|
Refereed: | Yes |
Additional Information: | Article number:101571 |
Uncontrolled Keywords: | Bitcoin; Cryptocurrency; Granger causality in distribution; Quantile dependence; Directional predictability; Cross-quantilogram |
Subjects: | Business > Economics Business > Finance |
DCU Faculties and Centres: | DCU Faculties and Schools > DCU Business School |
Publisher: | Elsevier |
Official URL: | https://dx.doi.org/10.1016/j.irfa.2020.101571 |
Copyright Information: | © 2020 The Authors. Open Access (CC-BY-4.0) |
ID Code: | 25899 |
Deposited On: | 26 May 2021 13:53 by Thomas Murtagh . Last Modified 09 Jun 2021 15:35 |
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