Title: Correlations and volatility spillovers across cryptocurrency and stock markets: linking gold, bonds, and FRX

Authors: Mirzat Ullah; Kazi Sohag

Addresses: Graduate School of Economics and Management, Ural Federal University, Yekaterinburg 620002, Russia ' Graduate School of Economics and Management, Ural Federal University, Yekaterinburg 620002, Russia

Abstract: This study examines the connectedness among Bitcoin, gold, equity, bonds, and dollar to Ruble exchange rate volatility in the context of new developments during Russia Ukraine conflict using daily data from January 1, 2018, to May 30, 2023. Three GARCH estimation models are utilised to capture the volatility spillover effect among the underlined assets, and assess for the hedging, diversification, and safe haven properties of assets in the context of Russian financial market. The results indicate that the Bitcoin exhibits hedging ability that enables investors to diversify the risk among the underline financial assets. In addition, VaR and CVaR estimations are employed to estimate potential losses in the portfolio during the crisis, where we observe significant increase in Bitcoin investments during crisis, where negative news has a stronger impact compared to positive news, which underscores the importance of prudent asset allocation for risk mitigation. The study provides notable policy implications within the context of the ongoing crisis between Russia and Ukraine.

Keywords: Bitcoin; gold; equity; bonds; USD/RUB exchange rate: Russian financial market; GARCH estimation; hedging and diversification.

DOI: 10.1504/IJCEE.2025.145010

International Journal of Computational Economics and Econometrics, 2025 Vol.15 No.1/2, pp.49 - 77

Received: 24 Aug 2023
Accepted: 20 Jan 2024
Published online: 17 Mar 2025 *