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Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices

Elsayed, Ahmed H. and Gozgor, Giray and Yarovaya, Larisa (2022) 'Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices.', Finance Research Letters .

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.

Item Type:Article
Keywords:dynamic connectedness; cryptocurrency; policy uncertainty; price uncertainty; gold
Full text:Publisher-imposed embargo until 15 February 2023.
(AM) Accepted Manuscript
Available under License - Creative Commons Attribution Non-commercial No Derivatives 4.0.
File format - PDF
(711Kb)
Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1016/j.frl.2022.102732
Publisher statement:© The Authors 2022. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
Date accepted:13 February 2022
Date deposited:15 February 2022
Date of first online publication:15 February 2022
Date first made open access:15 February 2023

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