期刊
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
卷 57, 期 -, 页码 -出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.najef.2021.101379
关键词
Cryptocurrency markets; Bitcoin; Realized volatility measures; Asymmetry; Quantile regression
Developed-market returns are positively related to the realized variance proxy, while emerging-market returns are positively correlated with realized variance during bear markets and negatively correlated with it during normal and bull markets. The upside component of realized variance has a negative influence on returns, while the downside component has a positive influence.
We investigate how sensitive developed and emerging equity markets are to volatility dynamics of Bitcoin during tranquil, bear, and bull market regimes. Intraday price fluctuations of Bitcoin are represented by three measures of realized volatility, viz. total variance, upside semivariance, and downside semivariance. Our empirical analysis relies on a quantile regression framework, after orthogonalizing raw returns with respect to an array of relevant global factors and accounting for structural shifts in the series. The results suggest that developed-market returns are positively related to the realized variance proxy across various market conditions, while emerging-market returns are positively (negatively) correlated with realized variance during bear (normal and bull) market periods. The upside (downside) component of realized variance has a negative (positive) influence on returns of either market category, and the dependence structure is highly asymmetric across the return distribution. Additionally, we document that developed and emerging markets are more sensitive to downside volatility than to upside volatility when they enter tranquil or bull territory. Our results offer practical implications for policymakers and investors.
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