dc.contributor |
Universitat Rovira i Virgili. Departament d'Economia |
dc.contributor.author |
Aslanidis, Nektarios |
dc.contributor.author |
Fernández Bariviera, Aurelio |
dc.contributor.author |
Savva, Christos S. |
dc.date.accessioned |
2021-01-15T16:08:36Z |
dc.date.available |
2021-01-15T16:08:36Z |
dc.date.created |
2020-10-23 |
dc.date.issued |
2020 |
dc.identifier.uri |
http://hdl.handle.net/2072/417680 |
dc.format.extent |
18 p. |
dc.language.iso |
eng |
dc.publisher |
ECO-SOS, Centre de Recerca en Economia i Sostenibilitat |
dc.relation.ispartofseries |
Documents de treball del Departament d'Economia;2020-05 (ECO-SOS) |
dc.rights |
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons:http://creativecommons.org/licenses/by-nc-nd/4.0/ |
dc.source |
RECERCAT (Dipòsit de la Recerca de Catalunya) |
dc.subject.other |
Bitcoin |
dc.subject.other |
Mercats financers |
dc.title |
Weekly dynamic conditional correlations among cryptocurrencies and traditional assets |
dc.type |
info:eu-repo/semantics/workingPaper |
dc.subject.udc |
336 - Finances. Banca. Moneda. Borsa |
dc.embargo.terms |
cap |
dc.rights.accessLevel |
info:eu-repo/semantics/openAccess |
dc.description.abstract |
This paper adopts a versatile multivariate conditional correlation model
to estimate daily seasonality in the returns, the volatility, and the correlations between stocks, bonds, gold and Bitcoin. Besides the well known
seasonality in stocks and bonds, the day-of-the-week effect is also present
in Bitcoin. Mondays are associated with higher Bitcoin returns, while
Wednesdays with higher Bitcoin volatility. As opposed to previous literature, our results indicate strong evidence of Bitcoin’s leverage effect.
Moreover, we show that daily correlations between Bitcoin and traditional
assets are higher at the beginning of the week, while the volatility of these
correlations decreases over the week. Our results offer interesting insights
in terms of investment and portfolio diversification, that can be applied
to the analysis of systematic risk asset allocation and hedging.
Keywords: Day-of-the-week effect; dynamic conditional correlation; Bitcoin; volatility seasonality.
JEL codes: G01; G10; G12; G22 |