Title: Bitcoin connectedness to traditional asset-classes in times of COVID-19

Authors: Chaker Aloui; Muhammad Saeed Meo; Hela Ben Hamida; Mohammad Ashraful Ferdous Chowdhury

Addresses: College of Business Administration, Prince Sultan University, P.O. Box No. 66833, Rafha Street, Riyadh 11586, Saudi Arabia ' Sunway Business School, Sunway University, 40150, Malaysia ' College of Economics and Administrative Sciences, Imam Muhammad Ibn Saud, Islamic University, 11564, Saudi Arabia ' IRC for Finance and Digital Economy, KFUPM Business School, King Fahd University of Petroleum and Minerals, Dhahran, 32227, Saudi Arabia

Abstract: In this paper, we analyse the impact of COVID-19 announcements on the volatility spillovers between the Bitcoin cryptocurrency and other leading financial and physical assets including oil, gold, dollar currency prices and stocks. In doing so, we implement the multivariate GJR-GARCH model under dynamic conditional correlations (DCC) and multiple and partial wavelets to hourly data starting from the onset of the COVID-19 health crisis. Our results reveal positive and weak dependence of Bitcoin to all asset classes except the dollar currency price during the COVID-19 pandemic. The occurrence of the recent health crisis seems to strengthen the Bitcoin connectedness. Furthermore, the COVID-19 related announcements are shown to increase the power of the Bitcoin correlation and have no significant effect on the correlation volatility during the COVID-19 period. The wavelet analysis reveals consistent results and a substantially varying pattern of Bitcoin-asset class correlations over time-scales and investment horizons. Our intraday study has several prominent implications for asset-class managers, regulators and digital currency traders, and paves the way for future research.

Keywords: COVID-19 announcements; Bitcoin; oil; stock; gold; FX rates; multivariate GARCH; multiple and partial wavelets.

DOI: 10.1504/IJTGM.2023.136125

International Journal of Trade and Global Markets, 2023 Vol.18 No.4, pp.315 - 338

Received: 25 May 2021
Accepted: 29 Oct 2021
Published online: 17 Jan 2024 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article