Dr Ahmed Elsayed ahmed.elsayed@durham.ac.uk
Associate Professor
Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices
Elsayed, Ahmed H.; Gozgor, Giray; Yarovaya, Larisa
Authors
Giray Gozgor
Larisa Yarovaya
Abstract
This paper examines the dynamic connectedness of return- and volatility spillovers among cryptocurrency index (CRIX), Gold, and uncertainty measures. Apart from traditional uncertainty measures, we also consider two novel uncertainty measures: Cryptocurrency Policy Uncertainty and Cryptocurrency Price Uncertainty indices. We observe that cryptocurrency policy uncertainty is the main transmitter of the return spillovers to other variables. In addition, Gold is a net receiver of both the return and the volatility spillovers. These results are valid under bearish, bullish, and normal market conditions. Our findings contribute to the literature considering the spillover effect between cryptocurrencies and other assets and their determinants.
Citation
Elsayed, A. H., Gozgor, G., & Yarovaya, L. (2022). Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices. Finance Research Letters, 47(Part B), Article 102732. https://doi.org/10.1016/j.frl.2022.102732
| Journal Article Type | Article |
|---|---|
| Acceptance Date | Feb 13, 2022 |
| Online Publication Date | Feb 15, 2022 |
| Publication Date | 2022-06 |
| Deposit Date | Feb 15, 2022 |
| Publicly Available Date | Feb 15, 2023 |
| Journal | Finance Research Letters |
| Print ISSN | 1544-6123 |
| Publisher | Elsevier |
| Peer Reviewed | Peer Reviewed |
| Volume | 47 |
| Issue | Part B |
| Article Number | 102732 |
| DOI | https://doi.org/10.1016/j.frl.2022.102732 |
| Keywords | dynamic connectedness; cryptocurrency; policy uncertainty; price uncertainty; gold |
| Public URL | https://durham-repository.worktribe.com/output/1217071 |
Files
Accepted Journal Article
(728 Kb)
PDF
Publisher Licence URL
http://creativecommons.org/licenses/by-nc-nd/4.0/
Copyright Statement
© 2022 The Authors. Published by Elsevier Inc. This is an open access article under the CC BY-NC-ND license
(http://creativecommons.org/licenses/by-nc-nd/4.0/).
Published Journal Article
(2.7 Mb)
PDF
Publisher Licence URL
http://creativecommons.org/licenses/by-nc-nd/4.0/
You might also like
Central Bank digital currencies: An Agenda for future research
(2022)
Journal Article
Downloadable Citations
About Durham Research Online (DRO)
Administrator e-mail: dro.admin@durham.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search