TY - JOUR
T1 - Bitcoin and global financial stress
T2 - A copula-based approach to dependence and causality in the quantiles
AU - Bouri, Elie
AU - Gupta, Rangan
AU - Lau, Chi Keung
AU - Roubaud, David
AU - Wang, Shixuan
PY - 2018/8/1
Y1 - 2018/8/1
N2 - We apply different techniques and uncover the quantile conditional dependence between the global financial stress index and Bitcoin returns from July 18, 2010, to December 29, 2017. The results from the copula-based dependence show evidence of right-tail dependence between the global financial stress index and Bitcoin returns. We focus on the conditional quantile dependence and indicate that the global financial stress index strongly Granger-causes Bitcoin returns at the left and right tail of the distribution of the Bitcoin returns, conditional on the global financial stress index. Finally, we use a bivariate cross-quantilogram approach and show only limited directional predictability from the global financial stress index to Bitcoin returns in the medium term, for which Bitcoin can act as a safe-haven against global financial stress.
AB - We apply different techniques and uncover the quantile conditional dependence between the global financial stress index and Bitcoin returns from July 18, 2010, to December 29, 2017. The results from the copula-based dependence show evidence of right-tail dependence between the global financial stress index and Bitcoin returns. We focus on the conditional quantile dependence and indicate that the global financial stress index strongly Granger-causes Bitcoin returns at the left and right tail of the distribution of the Bitcoin returns, conditional on the global financial stress index. Finally, we use a bivariate cross-quantilogram approach and show only limited directional predictability from the global financial stress index to Bitcoin returns in the medium term, for which Bitcoin can act as a safe-haven against global financial stress.
KW - Bitcoin
KW - global financial stress index
KW - dependence
KW - copula
KW - quantiles
UR - http://www.scopus.com/inward/record.url?scp=85045473457&partnerID=8YFLogxK
U2 - 10.1016/j.qref.2018.04.003
DO - 10.1016/j.qref.2018.04.003
M3 - Article
VL - 69
SP - 297
EP - 307
JO - Quarterly Review of Economics and Finance
JF - Quarterly Review of Economics and Finance
SN - 1062-9769
ER -