Year: 2024
Type: article
Abstract: We investigate the spillover effect from Bitcoin to selected Fiat currencies (Major and Emerging currencies) using the USD index as control. Our dataset comprises daily frequency from 2 composite currency indices, 7 Major currencies and 21 Emerging Market (EM) currencies from 01/01/2014 to 29/10/2021 (2042 observations). Applying the Dynamic Conditional Correlation - Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) method, we find evidence of spillover with changing patterns (from largely no spillover to negative spill over) between pre- Covid versus COVID-19 period. During the COVID period, Bitcoin demonstrates hedging capabilities against USD.
Source: Jurnal Akuntansi dan Bisnis
Authors: Triasesiarta Nur, Moch. Doddy Ariefianto, Kevin Kevin, Daniel Sharon
Institution: Binus University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W4408839323