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Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets.

Etienne Harb^1,2, Charbel Bassil³, Talie Kassamany⁴

¹ESSCA School of Management, Angers, France.

Computational Economics

|October 3, 2022

Summary

This study reveals return-volatility spillovers among Bitcoin, Ethereum, and Litecoin, with Ripple as a key shock transmitter. Cryptocurrencies show limited links to US stocks but connect to bonds, impacting prices during crises like Covid-19.

Keywords:

Cryptocurrencies GARCH-SEM Pandemics Structural breaks Volatility spillover

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Area of Science:

* Financial Economics
* Quantitative Finance
* Cryptocurrency Markets

Background:

* Increasing volatility and interconnectedness of major cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin).
* Need to understand cryptocurrency-volatility linkages with traditional US equity and bond markets.
* Assessing the impact of global events, like the Covid-19 pandemic, on digital asset markets.

Purpose of the Study:

* To investigate return-volatility spillovers among Bitcoin, Ethereum, Ripple, and Litecoin.
* To analyze the interdependence between cryptocurrency volatility and US equity/bond market volatility.
* To determine the effect of the Covid-19 outbreak on cryptocurrency returns and volatility.

Main Methods:

* Two-step estimation approach utilizing Univariate General Autoregressive Conditional Heteroskedastic (GARCH) models.
* Simultaneous Equation Model (SEM) to capture interconnections between market volatilities and the Covid-19 shock.
* Analysis of return-volatility dynamics across digital assets and traditional markets.

Main Results:

* Significant return-volatility spillovers observed among Bitcoin, Ethereum, and Litecoin.
* Ripple identified as the primary transmitter of volatility shocks within the crypto market.
* Cryptocurrency market largely detached from US equity markets but shows interdependence with US bond markets.
* Covid-19 related uncertainty impacted Litecoin, Bitcoin, and Ethereum prices, with short-lived effects.

Conclusions:

* Volatility spillovers and market isolation necessitate adjustments in investment strategies for valuation and diversification.
* Ethereum may offer protection against bond market downturns during crises.
* Findings provide insights for policymakers to manage market stability during stressful periods.