The linkage between Bitcoin and foreign exchanges in developed and emerging markets
Abstract This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries: the developed G7 and the emerging BRICS. The methodology adopts the regular (R)-vine copula and compares it with two benchmark models: the multivariate t copula and the dynamic conditio...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2023-01-01
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| Series: | Financial Innovation |
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| Online Access: | https://doi.org/10.1186/s40854-023-00454-w |
| _version_ | 1797945755130920960 |
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| author | Ahmed BenSaïda |
| author_facet | Ahmed BenSaïda |
| author_sort | Ahmed BenSaïda |
| collection | DOAJ |
| description | Abstract This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries: the developed G7 and the emerging BRICS. The methodology adopts the regular (R)-vine copula and compares it with two benchmark models: the multivariate t copula and the dynamic conditional correlation (DCC) GARCH model. Moreover, this study examines whether the Bitcoin meltdown of 2013, selloff of 2018, COVID-19 pandemic, 2021 crash, and the Russia-Ukraine conflict impact the linkage with conventional currencies. The results indicate that for both currency baskets, R-vine beats the benchmark models. Hence, the dependence is better modeled by providing sufficient information on the shock transmission path. Furthermore, the cross-market linkage slightly increases during the Bitcoin crashes, and reaches significant levels during the 2021 and 2022 crises, which may indicate the end of market isolation of the virtual currency. |
| first_indexed | 2024-04-10T21:00:09Z |
| format | Article |
| id | doaj.art-9e40fd3bc42d415ab6cb5757e7b095db |
| institution | Directory Open Access Journal |
| issn | 2199-4730 |
| language | English |
| last_indexed | 2024-04-10T21:00:09Z |
| publishDate | 2023-01-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj.art-9e40fd3bc42d415ab6cb5757e7b095db2023-01-22T12:22:35ZengSpringerOpenFinancial Innovation2199-47302023-01-019112710.1186/s40854-023-00454-wThe linkage between Bitcoin and foreign exchanges in developed and emerging marketsAhmed BenSaïda0LaREMFiQ Laboratory, University of SousseAbstract This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries: the developed G7 and the emerging BRICS. The methodology adopts the regular (R)-vine copula and compares it with two benchmark models: the multivariate t copula and the dynamic conditional correlation (DCC) GARCH model. Moreover, this study examines whether the Bitcoin meltdown of 2013, selloff of 2018, COVID-19 pandemic, 2021 crash, and the Russia-Ukraine conflict impact the linkage with conventional currencies. The results indicate that for both currency baskets, R-vine beats the benchmark models. Hence, the dependence is better modeled by providing sufficient information on the shock transmission path. Furthermore, the cross-market linkage slightly increases during the Bitcoin crashes, and reaches significant levels during the 2021 and 2022 crises, which may indicate the end of market isolation of the virtual currency.https://doi.org/10.1186/s40854-023-00454-wCryptocurrencyFiat currencyBitcoin crashesMarket integration |
| spellingShingle | Ahmed BenSaïda The linkage between Bitcoin and foreign exchanges in developed and emerging markets Financial Innovation Cryptocurrency Fiat currency Bitcoin crashes Market integration |
| title | The linkage between Bitcoin and foreign exchanges in developed and emerging markets |
| title_full | The linkage between Bitcoin and foreign exchanges in developed and emerging markets |
| title_fullStr | The linkage between Bitcoin and foreign exchanges in developed and emerging markets |
| title_full_unstemmed | The linkage between Bitcoin and foreign exchanges in developed and emerging markets |
| title_short | The linkage between Bitcoin and foreign exchanges in developed and emerging markets |
| title_sort | linkage between bitcoin and foreign exchanges in developed and emerging markets |
| topic | Cryptocurrency Fiat currency Bitcoin crashes Market integration |
| url | https://doi.org/10.1186/s40854-023-00454-w |
| work_keys_str_mv | AT ahmedbensaida thelinkagebetweenbitcoinandforeignexchangesindevelopedandemergingmarkets AT ahmedbensaida linkagebetweenbitcoinandforeignexchangesindevelopedandemergingmarkets |