Title: Asymmetric volatility of the US dollar index in the stock and cryptocurrency market during the Russia-Ukraine war

Authors: Suraj Velip; Mrunali Jambotkar

Addresses: Goa Business School, Goa University, Goa, 403206, India ' SSA Government College of Arts and Commerce, Pernem-Goa, 403512, India

Abstract: In this study, we analyse if changes in the US dollar index (USDX) have a volatility and asymmetric effect on stock and cryptocurrency market returns in light of the Russia-Ukraine war. We estimate an asymmetric dynamic conditional correlation model (ADCC) that shows the short-term and long-term volatility persistence and asymmetric effect for ten leading cryptocurrencies and stock markets. Except for XRP, ADA, USA and Japan, all other cryptocurrencies and stock markets exhibit significantly higher volatility spillover from USDX. The result also indicates instability in USDX has a significant asymmetric effect in seven cryptocurrencies and four stock markets. A salient contribution concerns the suggestions for policymakers to monitor the cross-market shock, volatility spillover and asymmetric effect, which will assist them in making the cryptocurrencies and stocks more immune to the shock from USDX in times of turmoil.

Keywords: asymmetric DCC; stocks and cryptocurrencies; volatility spillover; asymmetry; Russia-Ukraine war.

DOI: 10.1504/IJBAAF.2024.137105

International Journal of Banking, Accounting and Finance, 2024 Vol.14 No.1, pp.97 - 112

Received: 20 Jan 2023
Accepted: 17 Sep 2023

Published online: 01 Mar 2024 *

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