Gho bel, Ach a ; Loukil, Saha ; Bahloul, Walid
A icle
Connec edness be ween c yp ocu encies, gold and s ock
ma ke s in he p esence o he COVID-19 pandemic
Eu opean Jou nal o Managemen and Business Economics (EJM&BE)
P o ided in Coope a ion wi h:
Eu opean Academy o Managemen and Business Economics (AEDEM), Vigo (Pon e ed a)
Sugges ed Ci a ion: Gho bel, Ach a ; Loukil, Saha ; Bahloul, Walid (2024) : Connec edness be ween
c yp ocu encies, gold and s ock ma ke s in he p esence o he COVID-19 pandemic, Eu opean
Jou nal o Managemen and Business Economics (EJM&BE), ISSN 2444-8451, Eme ald, Leeds, Vol.
33, Iss. 4, pp. 466-487,
h ps://doi.o g/10.1108/EJMBE-10-2021-0281
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Connec edness be ween
c yp ocu encies, gold and s ock
ma ke s in he p esence o he
COVID-19 pandemic
Ach a Gho bel, Saha Loukil and Walid Bahloul
Facul y o Economics and Managemen o S ax, Uni e si y o S ax, S ax, Tunisia
Abs ac
Pu pose –This pape analyzes he connec edness wi h ne wo k among he majo c yp ocu encies, he G7
s ock indexes and he gold p ice o e he co ona i us disease 2019 (COVID-19) pandemic pe iod, in 2020.
Design/me hodology/app oach –This s udy used a mul i a ia e app oach p oposed by Diebold and
Yilmaz (2009, 2012 and 2014).
Findings –Fo a s ock index po olio, he esul s o s a ic connec edness showed a highe independence
be ween he s ock ma ke s du ing he COVID-19 c isis. I is wo h no ing ha in gene al, c yp ocu encies a e
di e si ie s o a s ock index po olio, which enable o educe ola ili y especially in he c isis pe iod. Dynamic
connec edness esul s do no signi ican ly di e om hose o he s a ic connec edness, he au ho s jus
men ion ha he Bi coin Gold becomes a ne ecei e . The scope o connec edness was main ained a e he
shock o mos o he c yp ocu encies, excep o he Dash and he Bi coin Gold, which joined a p e ious le el.
In ac , he Bi coin has always been he bigges ne ansmi e o ola ili y connec edness o spillo e s du ing
he c isis pe iod. Make is he bigges ne - ecei e o ola ili y om he global sys em. As o gold, he au ho s
no ice ha i has emained a ne ecei e wi h a signi ican inc ease in he ne wo k ecep ion du ing he c isis
pe iod, which con i ms i s sa e ha en.
O iginali y/ alue –O e all, he au ho s conclude ha connec edness is shown o be condi ional on he ex en
o economic and inancial unce ain ies ma ked by he p opaga ion o he co ona i us while he Bi coin Gold
and Li ecoin a e he leas ecei e s, leading o he conclusion ha hey can be di e si ie s.
Keywo ds Connec edness, C yp ocu encies, COVID-19 c isis, Gold, Spillo e
Pape ype Resea ch pape
1. In oduc ion
Almos all ma ke s ha e wi nessed s ong uphea als wi h he sp ead o he co ona i us
disease 2019 (COVID-19) pandemic shi ing o he majo digi al cu encies, he s ock indices,
he oil p ice and commodi ies. The shi s in he men ioned asse ola ili y ha e p o ed cos ly
o many ma ke s. In ac , he inc ease o ola ili y has pu business ope a ions a he isk o
a ec ing he inancial sys em. The e o e, he global economy is in u moil as a esul o
conce ns o e he co ona i us epidemic. No company is immune o he challenges caused by
he heal h c isis; besides, he e a e unde s andable conce ns abou he damage caused o he
wo ldwide economy. Du ing he p opaga ion o he COVID-19 wo ldwide, an insu moun able
ea was behind a global s ock ma ke c ash. The 2020 s ock ma ke c ash, also e e ed o as
he Co ona i us C ash, was a majo and sudden global s ock ma ke c ash ha began on
20 Feb ua y 2020.
EJMBE
33,4
466
© Ach a Gho bel, Saha Loukil and Walid Bahloul. Published in Eu opean Jou nal o Managemen and
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Recei ed 17 Oc obe 2021
Re ised 21 Janua y 2022
Accep ed 8 Ap il 2022
Eu opean Jou nal o Managemen
and Business Economics
Vol. 33 No. 4, 2024
pp. 466-487
Eme ald Publishing Limi ed
e-ISSN: 2444-8494
p-ISSN: 2444-8451
DOI 10.1108/EJMBE-10-2021-0281
The impac o he COVID-19 on he ola ili y o ma ke s exceeded he one caused by he
2008 global inancial c isis and con inues o ha e an e ec (Zhang and Hamo i, 2021a). The
pandemic c ea ed an unp eceden ed le el o isk, such as oil igge ing s ock ma ke s, which
was accompanied by hea y losses o in es o s. As a esul , he Pa is S ock Exchange ell
om 8.39% o 4,707.91 poin s a he close, i s wo s session since 2008 [1]. Then, he Wall
S ee had i s wo s down u n since 2008 as he co ona i us ea s ha e wiped o almos
32%, o oughly $9 illion, om he alue o he benchma k S&P index since i s eco d
closing high on Feb ua y 19, 2020 [2]. Mo eo e , he Dow Jones en e ed “bea ma ke ”
e i o y [3] as i ell by 1,465 poin s o 5.9%. This was enough o pu i mo e han 20% lowe
han he index ecen high poin on 12 Feb ua y 2020. On he o he hand, he Nikkei eached
i s lowes poin in 30 yea s amid wo sening i us ea s [4]. Recen esea ch s udies e alua ed
and quan i ied he unexpec ed ou b eak e ec s o he global pandemic on he s ock ma ke s’
pe o mance and p o ed i s educing e ec in he USA (Yous i e al.,2021),in heA ican
coun ies (Owusu Takyi and Ben um-Ennin, 2020), and in he USA, Japan and Ge many,
whe e he impac o he COVID-19 exceeded ha o he 2008 inancial c isis (Zhang and
Hamo i, 2021a), e c.
On he o he hand, al hough hey a e new digi al cu encies, which es ablished a new
dis ibu ed paymen sys em on he basis o c yp o-g aphical p o ocols which can ensu e
anonymi y, low cos and as speed o pee - o-pee ansac ions, c yp ocu encies a e no
immune o his inancial c ash caused by he new pandemic. The e o e, he majo
c yp ocu encies has plumme ed o i s lowes le el since Ma ch as a s onge dolla and
in es o ne es s ip o nea ly $140bn in c yp ocu ency ma ke cap. Fo example, o e wo
days in Janua y, i plunged o 21%, which is i s bigges decline since Ma ch 2019. On he o he
hand, E he eum ell o 12%. The smalle coins, XRP and Li ecoin shed abou 18% each [5].
The BTG, which was c ea ed in 2017 o coun e he cen aliza ion o Bi coin, was no ably
ola ile du ing 2020 wi h eco d in Ma ch 2020 [6]. In ac , se e al esea che s, such as Mni
e al. (2020),Demi e al. (2020),Uma and Guba e a (2020),Be ge on e al. (2020),Salisu and
Ogbonna (2021) and Ya o aya e al. (2021), s udied he impac o he COVID-19 on he
c yp ocu ency ma ke e iciency.
While co ela ions among mos ypes o asse s signi ican ly inc eased, gold was he only
asse o inc ease in alue in 2020. A he ime o he ma ke u moil, in es o s a e mo e
in e es ed in gold as a sa e-ha en asse (Bau and Lucey, 2010;Shahzad e al., 2019). This
p ecious me al is unconnec ed wi h o he asse s (Bau and Lucey, 2010) and is s ill conside ed
o be a ze o-be a asse (McCown and Zimme man, 2006). Among all he commodi ies, gold has
he longes du a ion in he high ola ili y egime (Choix and Hammoudeh, 2010). In ac , he
ising eeling o ea and he in es o s’pessimism obse ed du ing c ises caused an inc ease
o demand o gold, which esul s in an inc ease o ola ili y (Gho bel, 2018). Mo eo e ,
se e al s udies, such as hose o Bau and McDe mo (2010) and C e i e al. (2013), p o ed he
sa e-ha en ole o gold,pa icula ly du ing he s ock ma ke c ises (Anand and Madhoga ia,
2012;A ou i e al., 2015;Chkili, 2016;Chen and Wang, 2017;Jun ila e al., 2018).
Gi en his ola ile ime, we in end o s udy he ime- a ying ola ili y and he ola ili y
ansmission mechanisms ac oss he mos widely aded c yp ocu encies, s ock indices and
gold. This would be essen ial o bo h in e na ional in es o s and policymake s. In ac , so
a , he common consensus has p o en he weak co ela ions be ween c yp ocu encies and
o he asse s. Howe e , se e al obse a ions allow e isi ing his consensus (K is ou ek, 2015;
Ye mack, 2013a,b;Blau, 2017;Bou i e al., 2018a;Jiang e al., 2021). The e o e, we s udy he
pai wise and o al connec edness among he s ock indices, he majo c yp ocu encies and
gold. Thus, ou empi ical s udy sheds ligh s on he li e a u e ega ding he linkages be ween
inancial and commodi y ma ke s. We pa icula ly use da a ele an o eigh popula
c yp ocu encies, namely Bi coin, Dash, E he eum, Mone o, Make , Bi coin Gold, Li ecoin
and Ripple, s ock indices o se en de eloped coun ies (Ame ican index S&P500,
C yp ocu encies,
gold and s ock
ma ke s
467
B i ish index FTSE, Japanese index Nikkei, Ge man index Dax 30, Canadian index SP/TSX,
F ench index CAC40 and I alian index FTSE MIB) and gold p ice.
In e ospec , his s udy goes one s ep u he and con ibu es o he exis ing li e a u e in a
numbe o ways. Fi s , while se e al esea ch s udies on he ela ionship be ween he Bi coin
and o he adi ional asse s eme ged o assess whe he he Bi coin can be used as a sa e-
hea en, a di e si ie o a hedging asse (see, e.g. B i
e e e al., 2015;Dyh be g, 2016;Bou i e al.,
2018a,b,c;Bau e al., 2018a,b;Co be e al., 2018;Feng e al., 2018;Giudici e al., 2018;Ji e al.,
2018;Symi si and Chal a zis, 2019), ou s udy ocuses on he eigh majo c yp ocu encies.
Second, ou analysis du ing he COVID-19 pandemic enabled us o e isi he common
consensus ega ding he weak co ela ion be ween he c yp ocu encies and he s ock
ma ke s and also de ec he isk o con agion. Thi d, ou s udy shows o wha ex en he
ela ionship be ween gold, he s ock indexes and he c yp ocu encies can be unde s ood in
a sys emic way. Fou h, ou hedging e ec i eness analysis is se o assess he oles o he
c yp ocu encies, he s ock indexes and gold in a c isis pe iod. Doing so, we ex end he
co ela ion analysis and help po olio hedge s o make op imal po olio alloca ions,
engage in isk managemen and o ecas u u e ola ili y in inancial asse s and commodi y
ma ke s.
We p oceed as ollows. The second sec ion will p esen he li e a u e e iew. In sec ion 3,
we discuss he cons uc ion o ou sample and in oduce he connec edness me hod p oposed
by Diebold and Yılmaz (2014) o in es iga e he in es o s’s a egies in ela ion o
c yp ocu encies, s ock indices and gold, whe e we p opose he da a desc ip ion and he
summa y s a is ics. In sec ion 4, we p o ide esul s o he s a ic and dynamic in o ma ion
spillo e e ec , and inally, in sec ion 5, we conclude he pape .
2. Li e a u e e iew
A la ge s and o li e a u e has ocused on he mu ual dependencies be ween
c yp ocu encies, s ock indexes, oil and o he commodi ies (Ku ka, 2017;Co be e al.,
2018;Tiwa i e al., 2019,2020;Ji HoKwon, 2020;Yi ong Hu e al., 2020;Ahsan Bhuiyan e al.,
2021;Yonghong Jiang e al., 2021;Lahiani e al., 2021;Ca e a and Vidal-Tom
as, 2021). This
line o hough s is in e es ing and conside ed as a new opic because i especially conside s
he inc eased in eg a ion be ween inancial ma ke s in c isis pe iod. The e o e, s udying
connec edness among di e en asse s is impo an o wo majo easons. Fi s , he po olio
pe o mance depends on he in es o ’s po olio selec ion and on he s uc u e o i s
componen s (Baum€
ohl e al., 2018). Second, policymake s could bene i om he in o ma ion
ansmi ed ac oss asse s o b oadcas hei policies (Cine e al., 2013). This explains he
exis ence o a la ge empi ical li e a u e ying o be e unde s and he mu ual dependencies
among a ious asse classes.
Mo eo e , ecen s udies ha e concen a ed on he sa e ha en and he a ious oles o
c yp ocu encies wi h espec o adi ional asse s (Bou i e al., 2018a,b,c;Selmi e al.,
2018;U quha and Zhang, 2019), especially wi h he s ock indices because o hei
uni e sali y (Dyh be g, 2016;Bou i e al., 2018a,b,c,2020;Jiang e al., 2021). Using
nume ous me hods and echniques, i was p o ed ha he majo c yp ocu encies a e in
gene al isola ed om con en ional asse s (Dyh be g, 2016;Aslanidis e al., 2019;
Cha eddine e al., 2020;Bou i e al., 2020;Gho bel and Je ibi, 2021a). Howe e , he no el
app oach is o challenge his common consensus ega ding he weak co ela ion be ween
c yp ocu encies and he s ock ma ke s. This is explained by he ac ha he
c yp ocu ency p ices a e de e mined by he same s anda d undamen al ac o s as in
adi ional asse s (K is ou ek, 2015), besides hei specula i e na u e (Ye mack, 2013a,b;
Blau, 2017;Bou i e al., 2018a,b,c) may inc ease in o ma ion ansmission, isk con agion
and he down u n be ween c yp ocu encies and he s ock ma ke s du ing he COVID-19
EJMBE
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468
pandemic. Fo hei pa , Jiang e al. (2021) p o ed hei dependence. In ac , i becomes
in e es ing o challenge his adi ional consensus in c isis pe iod ma ked by he sp ead o
a new global pandemic COVID-19, which des abilized he economic and inancial sys em in
he i s qua e o 2020.
Fu he mo e, se e al s udies p esen ed some empi ical indings on connec edness
be ween c yp ocu encies, s ocks and o he asse s. In his sense, Ku ka (2017) documen ed a
e y low connec edness be ween Bi coin and gold, oil, S&P500 and easu y no es. Mo eo e ,
Co be e al. (2018) con i med ha Bi coin, Ripple and Li ecoin a e isola ed om o he
inancial and economic asse s, such as VIX, Bond, Gold, FX, S&P500 and GSCI. Mo e
ecen ly, Tiwa i e al. (2019) ha e used a copula-ADCC-EGARCH model o examine he ime-
a ying asymme ic co ela ion be ween c yp ocu encies and s ock e u ns in he USA
ma ke s. They ound ha Li ecoin is he mos e icien hedge asse agains he isk in he USA
s ock ma ke . While o he BRICS and de eloped coun ies, Lahiani e al. (2021) in es iga ed
he dependence be ween c yp ocu encies and he s ock ma ke e u ns and ound e idence
o he p edic ing ole o BSE 30 o c yp ocu encies while he Bi coin u u e eshaped he
ail dependence be ween c yp ocu encies and he s ock e u ns. As o Mokni e al. (2020),
hey ook in o accoun he economic policy unce ain y and p o ed i s nega i e e ec on he
dynamic condi ional co ela ion be ween Bi coin and he USA s ock ma ke s only a e he
Bi coin c ash o Decembe 2017. Howe e , be o e he c ash, hey documen ed he exis ence o
a posi i e associa ion be ween he economic policy unce ain y and he weigh o Bi coin in
he po olio. Fu he mo e, in o de o classi y c yp ocu encies, Ji HoKwon (2020) p o ed
ha hey a e an al e na i e o a medium o exchange and a means o in es men being a
om a commodi y. Fo hei pa , Ahsan Bhuiyan e al. (2021) also ied o iden i y he
in e ela ionship be ween Bi coin and he di e en asse classes. In ac , hey ound e idence
o a s ong bidi ec ional causali y be ween gold and Bi coin and a neu al ela ionship wi h
he agg ega e commodi y index, c ude oil, and he US dolla index. This ela i e isola ion o
Bi coin p o es i s quali y as a di e si ie . As o Yonghong Jiang e al. (2021), hey
emphasized his inding h ough a no el quan ile cohe ency app oach. They p o ed ha
c yp ocu encies ailed o be a s ong hedge o sa e ha en agains he s ock ma ke s while
hey could be di e si ie s especially du ing he Ma ch 2020 ma ke ecession. To d aw
gene alized conclusions, Yi ong Hu e al. (2020) in es iga ed he impac o he in es o ’s
a en ion alloca ion on he wo ldwide s ock e u ns du ing ex eme he Bi coin mo emen s.
They ound ha hese shock e en s dec ease wo ldwide he s ock e u ns especially in he
eme ging coun ies. Conside ing he COVID-19 pandemic, Ca e a and Vidal-Tom
as (2021)
s udied he beha io o c yp ocu encies and s ock ma ke s. They ound ha he p ice
dynamics du ing he pandemic depends on he ype o he ma ke . In o he wo ds, despi e he
all o bo h c yp ocu encies and s ock indexes, c yp ocu encies p omp ly ebounded, while
s ock ma ke s we e apped in he bea phase. In he same line o hough s, Gho bel and Je ibi
(2021a) in es iga ed he ela ionships be ween he ola ili ies o i e c yp ocu encies,
Ame ican indices (S&P500, Nasdaq, and VIX), oil, and gold and ound ha c yp ocu encies
a e di e si ie s du ing he s abili y pe iod bu no a sa e ha en o US in es o s du ing he
co ona i us c isis.
The p e ious empi ical wo ks ha e examined he ola ili y connec edness o spillo e
e ec s ac oss di e en inancial asse s, which mo i a ed us o use a newly de eloped
sys emic amewo k o in es iga e he ola ili y connec edness in he c yp ocu ency
ma ke , s ock ma ke and gold du ing he c isis pe iod. The e o e, his s udy is in ended o
ill he gap and explici ly inco po a e hese issues o e isi he c yp o–s ock–gold ime-
a ying ela ionship om a global pe spec i e. This pape also aims a answe ing he
ollowing ques ions: I he global inancial ma ke s, he c yp o-cu ency ma ke and
gold a e di ec ly connec ed wi h inancial ma ke s, which asse s can be di e si ie s o
in es o s?
C yp ocu encies,
gold and s ock
ma ke s
469
3. Me hodology
In his sec ion, we will p esen he mul i a ia e ime-se ies app oach p oposed by Diebold and
Yilmaz (2009,2012,2014) o in es iga e he c yp o–gold–s ock index ela ionship om a
global pe spec i e. In ac , he au ho s p oposed an analy ical amewo k ha makes i
possible o p oduce di e en ypes o connec i i y om he same me hod: exposu e, in luence
o global connec i i y. Mo eo e , hey made he da a o di e en en i ies in e ac in a VAR/
VECM model and used gene alized a iance decomposi ion as he ne wo k adjacency ma ix.
This ma ix gi es an almos comple e desc ip ion o a ne wo k a a gi en ime. The au ho s
applied his me hod ecu si ely o ob ain he e olu ion o connec i i y o e ime, which
enabled hem o pain a pic u e o he ne wo k o he majo US inancial ins i u ions om a
se ies o inancial ola ili ies hen analyze he changes in his ne wo k as he c isis un olds. In
ac , his app oach i s ou opic since ou objec i e is o s udy he connec edness wi h
ne wo k among he majo c yp ocu encies (Bi coin, Dash, E he eum, Mone o, Make , Ripple,
Li ecoin and Bi coin gold), he G7 s ock indexes and he gold p ice o e he COVID-19
pandemic pe iod. We he e o e used da a o eigh majo c yp ocu encies, se en s ock
indexes and gold du ing 2020. Like Zhang and Hamo i (2021b), we used he e u ns measu ed
by he changes in he daily p ices.
To accoun o in e dependence in inancial ma ke s, Diebold and Yilmaz (2009) in oduce
a simple measu e o connec edness called he mul i a ia e ime-se ies app oach. This
app oach based on a ec o au o eg essi e model (VAR) and he gene alized o ecas ing
a iance decomposi ion me hod which is used o look a spillo e e ec s in he global
inancial ma ke . Due o i s simplici y and lexibili y, his connec edness measu e has been
widely applied in in o ma ion spillo e (Diebold and Yilmaz, 2012;Zhang and Hamo i, 2021b;
Ji e al., 2018). The de ailed p ocedu e is as ollows.
Fi s , conside aK a iable VAR model wi h plagged numbe :
y ¼Xp
i¼1Φiy −iþ
ε
(1)
whe e y is a (K31) ec o o a iables a da e ,Φiis au o eg essi e coe icien ma ix and
ε
is a (K31) ec o o e o e ms ha a e assumed o be se ially unco ela ed. Gi en a
s a iona y co a iance o he VAR sys em, a mo ing a e age ep esen a ion is w i en as
y ¼P∞
j¼0Aj
ε
−j, whe e he n3n, coe icien ma ices Aj¼Φ1Aj−1þΦ2Aj−2þ...þΦpAj−p
wi h A0is he n3niden i y ma ix and Aj¼0 o j<0.
To calcula e he a iance con ibu ion o a iable j o a iable i,θijðHÞ,Koop e al. (1996)
and Pesa an and Shin (1998) p oposed he ollowing H-s ep-ahead gene alized o ecas e o
a iance decomposi ion:
θijðHÞ¼
σ
−1
jj PH−1
h¼0e0
iAhPej2
PH−1
h¼0e0
iAhPA0
hei(2)
Σis he a iance ma ix o he ec o o e o s
ε
,
σ
jj is he s anda d de ia ion o
ε
jand ei
is a selec ion ec o wi h a alue o one o he i
h
elemen , and ze o elsewhe e. Because he
ow sums o he a iance decomposi ion ma ix a e no necessa ily equal o one, each
en y in he ma ix θðHÞis no malized by he ow sum and hence he ow sum will be
equal o one. Each en y in he k3kma ix θðHÞ¼½θijðHÞ measu es he con ibu ion o
a iable j o he o ecas e o a iance o a iable ia ho izon H,CH
i←j. No e ha in gene al
CH
i←j≠CH
j←i, hence, he main diagonal elemen s o he θðHÞma ix ep esen he own-
a iable con ibu ions, while he o -diagonal elemen s ep esen he c oss- a iable
con ibu ions. Table 1 illus a es he a ious connec edness measu es and hei
ela ionships.
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Finally, ne pai wise connec edness, di ec ional connec edness and o al connec edness
can be calcula ed using he gene alized o ecas e o a iance decomposi ion
app oach (FEVD).
3.1 Ne pai wise connec edness
Due o he asymme ic e ec be ween wo a iables and because CH
i←j≠CH
j←i, we measu e he
ne pai wise connec edness as he di e ence be ween CH
i←jand CH
j←i. Such di e ence,
CH
i←j−CH
j←i, measu es he ne spillo e e ec om a iable j o a iable i. Based on ne
pai wise connec edness, a di ec ional connec edness ne wo k can be buil . In such ne wo k,
each node ep esen an index, and a di ec ional edge om j o iexis s in he ne wo k i
CH
i←j−CH
j←iis posi i e.
3.2 “F om”and “To”, he o al di ec ional connec edness
In Table 1,“F om”column and “To” ow measu e he o al di ec ional connec edness om
and o each ma ke . To al di ec ional connec edness “F om”is de ined as he in o ma ion
spillo e om o he ma ke s o one ma ke and his numbe is be ween 0 and 1. Whe eas,
o al di ec ional connec edness “To” ep esen s he in o ma ion spillo e om one ma ke o
o he ma ke s, and his numbe is no bounded by 1.
3.3 Ne o al di ec ional connec edness
The di e ence be ween o al di ec ional connec edness “To”and “F om”o one ma ke
measu es he ne in o ma ion spillo e con ibu ion.
3.4 To al connec edness o he sys em
The a e age o o al di ec ional connec edness “F om”o “To” o all he a iables measu es
he o al connec edness o he sys em, which is a ep esen a i e indica o o he ma ke
in eg a ion and con e gence.
The ull-sample connec edness app oach does no help us unde s and he connec edness
dynamics, o his eason, Diebold and Yilmaz (2009) ex end his measu e by allowing o
ime- a ying spillo e e ec s. In he dynamic e sion o he measu e, he used me hod
No e(s): Following Diebold and Yilmaz (2009, 2014) and Zhang (2017), H is se o be 10 days
Table 1.
Connec edness able
based on he FEVD
app oach
C yp ocu encies,
gold and s ock
ma ke s
471
emains he same, bu i is applied in he o e lapping sub-samples. In such case, he dynamic
measu e o connec edness is di e en om a simple a e age o he olling-window measu es,
due o he ac ha he la e is ob ained om di e en VARs models. In he dynamic e sion,
we will be able o analyze how indi idual componen s con ibu e o he sys em o e ime and
how much in o ma ion i gains om i . Also, he dynamic model allows us o show he ime-
a ying connec edness in he sys em. In his pape , he choose o he size o he olling
window is selec ed based on guidelines indica ing ha i should no be oo la ge o oo small;
o he wise, i leads o es ima ions bias. The e o e, we choose a olling-window size o
app oxima ely 30% o daily obse a ions (which equal o 135) [7].
We would no e ha se e al s udies on ime- a ying pa ame e ec o au o eg essions
(TVP-VAR) dynamic connec edness ha e p og essi ely begun o appea (see, Gabaue and
Gup a, 2018;An onakakis e al., 2018,2019a,b,c;Cha zian oniou e al., 2022). Speci ically,
An onakakis and Gabaue (2017) and Ko obilis and Yilmaz (2018) bo h p o ed e idence o
he supe io i y o TVP-VAR connec edness es ima ion.
4. Da a and empi ical esul s
This sec ion mainly p esen ed he da a and analyzes he s a ic and dynamic spillo e e ec
ac oss global inancial sys em o Gold, eigh majo c yp ocu encies (Bi coin, Dash,
E he eum, Mone o, Li ecoin, Bi coin Gold, Make and Ripple) and majo s ocks o F ance,
USA, B i ain, I aly, Canada, Ge many and Japan. We will ocus on connec edness a a a ie y
o le els, om pai wise connec edness o c yp ocu encies, s ock indices and Gold o he
o al connec edness and om he s a ic connec edness ha measu es he uncondi ional
a e age o connec edness o e he ull sample o he dynamic ha ep esen s he condi ional
connec edness and i s mo emen s du ing a c isis pe iod.
The desc ip i e s a is ics o hese e u n se ies a e epo ed in Table 2 while he summa y
s a is ics o c yp ocu encies show ha e iden ly, he uncondi ional a iance o he Bi coin is
he lowes ola ili y, ollowed by ha o Ripple. This means ha he Bi coin exhibi s he lowes
ola ili y and hus emains he sa es cu ency is-
a- is he o he s udied c yp ocu encies;
besides, i o e s he highes a e age e u ns. Meanwhile, Bi coin Gold has expe ienced he
lowes e u n and he highes ola ili y. This indica es ha i is he mos ola ile and hus,
he iskies . Amid indices, Dax30 and S&P500 o e he highes a e age e u ns and FTSE he
Va iables Mean
S anda d
de ia ion Min Max Skewness Ku osis
Ja que–
Be a
BITCOIN:BTC 0.226 4.833 49.728 20.078 2.508 29.161 19345
Dash 0.039 6.520 50.029 56.488 0.600 22.655 5028.9
ETHEREUM:ETH 0.169 5.823 57.987 21.063 2.414 25.229 2143.5
MONERO:XMR 0.090 5.591 51.954 17.630 2.192 18.888 2781
LITECOIN:LTC 0.234 5.144 14.723 29.062 0.586 4.290 4872.7
BITCOIN
GOLD:BTG
0.268 6.570 54.495 71.658 1.938 46.286 1982.4
MAKER: MKR 0.101 6.552 81.821 31.419 4.233 60.814 37815.8
RIPPLE: XRP 0.106 4.995 18.813 32.182 1.123 7.492 10542.3
Gold 0.092 1.027 4.737 5.600 0.318 6.746 428.9
FTSE 0.018 1.456 11.512 8.667 1.470 14.893 18543
CAC40 0.018 1.624 13.098 8.056 1.766 14.642 14287.1
FTSEMIB 0.026 1.805 18.541 8.549 3.341 33.005 13982.7
DAX30 0.049 1.649 13.055 10.414 1.156 15.404 17251.6
NIKKEI 0.047 1.150 5.128 5.972 0.085 4.085 20465
SP/TSX 0.028 1.652 13.176 11.294 1.801 26.481 21587.1
S&P500 0.049 1.773 12.765 8.968 0.996 13.576 31578.2
Table 2.
Desc ip i e s a is ics
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472
lowes e u n (e en nega i e). Besides, he FTSEMIB has he highes ola ili y and NIKKEI he
lowes one. This means ha he NIKKEI exhibi s he lowes ola ili y and hus emains he
sa es index while FTSEMIB is he iskies . Mo eo e , compa ed o all c yp ocu encies and
indices, gold p esen s he lowes ola ili y. I is a sa e in es men especially du ing c isis
pe iods. Thus, we join Gho bel and Je ibi (2021a,b) and Fakh ekh e al. (2021), who showed ha
gold is a sa e ha en du ing he COVID-19 pandemic pe iod.
The skewness s a is ics demons a e ha ma ginal dis ibu ions a e asymme ical o
he le o Bi coin, E he eum, Make , Mone o and all s ock indices o which he alues a e
nega i e, excep o he Dash, Li ecoin, Bi coin Gold, Ripple and gold. These posi i e
alues suppose ha he ma ginal dis ibu ions a e asymme ical o he igh . Then, he
ku osis s a is ics is used in o de o es o he exis ence o hea y- ailed o ligh - ailed
ela i e o a no mal dis ibu ion. The ob ained high alues con i m he exis ence o a ails
in e u n dis ibu ions excep o Li ecoin, Ripple, gold and Nikkei wi h low alues.
The e o e, he assump ion o Gaussian e u ns is ejec ed by he Ja que–Be a es o all
digi al and inancial asse s. All he c yp ocu encies and inancial asse s (gold and s ock
indices), as e idenced by he ku osis and Ja que–Be a’s es s a e a om he no mal
dis ibu ion.
4.1 S a ic analysis o connec edness ne wo k o s ocks, gold and c yp ocu encies
Table 3 summa izes he es ima ion esul s o he s a ic connec edness measu es o each
s ock, c yp ocu ency and gold, issued om he TVP-VAR model o s udy he ea
connec edness and he isk ans e . The o al connec edness in his VAR sys em is 59.3%,
which is mainly due o he close link among he majo s ocks and c yp ocu encies and he
global inancial sys em. This indica es how much spillo e e ec s exis wi hin his sys em
and ha c yp ocu encies and s ocks a e no independen om he global inancial sys em.
The a e age in luence o he s ock indices is app oxima ely 82.01%, while he a e age
in luence o c yp ocu encies is app oxima ely 45.66%. In ac , he la ge alue o he s ock
indices shows ha he in e na ional s ock ma ke spillo e s a e mo e impo an han hose o
he c yp ocu ency ma ke as a sou ce o ma ke luc ua ions.
Fo c yp ocu encies, when we conside pai wise connec edness, we no ice ha only he
con ibu ions o Bi coin, Dash, E he eum and Mone o a e a ound 36% o he global sys em
ola ili y, and consequen ly a e o e aken by he in o ma ion sys em. On he o he hand, he
con ibu ions o Li coin, Bi coin Gold, Ma ke and Ripple a e mo e impo an as hey exceed
75%, excep o Make (52.8%). Mo eo e , we ound ha Li ecoin is he leas ecei e om
o he c yp ocu encies. On he o he hand, among he s ock indices, we ound ha hei own
con ibu ions a e nea 20%, excep o SP 500 (0.077), which is o e aken by he sys em wi h
an a e age ola ili y ansmission o 78.4%. Howe e , he pai wise connec edness alues
show ha he con ibu ions o CAC40, FTSE, FTSE MIB, DAX30 AND SP/TSX o he s udied
s ocks ange om 13% o 24%, while he con ibu ions o NIKKEI and S&P500 o o he
s ocks a e less han 8%. Acco ding o he pai wise connec edness analysis, Li ecoin is a
di e si ie in a c yp os’po olio. Then, ega ding gold, i becomes isible ha i is a
di e si ie o c yp os. Besides, o a c yp o and s ocks po olio, we ound ha he leas
ansmi e s o ola ili y a e Dash,as a c yp ocu ency and DAX 30, as a s ock index. Table 3
indica ed ha he F ench index (CAC 40) is a di e si ie in a po olio o s ocks and gold.
Finally, o a s ock index po olio, FTSEMIB is he leas ecei e and so is a di e si ie in his
case. I is wo h no ing ha in gene al, c yp os a e di e si ie s o a s ock index which helps
educe ola ili y, especially in COVID-19 c isis. These indings will be p o ed checked
h ough he ollowing ola ili y connec edness analysis. The ne connec edness s udy shows
ha Bi coin con ibu es 81.3% o he o al a ia ion in his sys em. Howe e , his sys em
con ibu es 63.1% o he a ia ion in Bi coin e u ns, which esul s in he highes posi i e ne
C yp ocu encies,
gold and s ock
ma ke s
473
luc ua ion in he global sys em. The e o e, i is a sa e ha en o o he c yp ocu encies and
especially s ock indices.
Tu ning o he s ock indices, we no iced ha he ne ansmission o FTSE, CAC40,
FTSEMIB and DAX30 signi ican ly d ops a e he c isis pe iod besides, he ne ecep ion o
he ola ili y connec edness o he spillo e o Nikkei and SP 500 is ma ked by a signi ican
decline. This indica es a signi ican change in hei cha ac e is ics due o ins abili y. As o
Sp/TSX, while he ne connec edness is no signi ican du ing almos he sample pe iod, i is
ma ked by a g ea shock du ing he c isis pe iod as i became a ne ansmi e .
Finally, ega ding gold, we no iced ha i emains a ne ecei e wi h a signi ican inc ease
in ne ecep ion du ing he c isis pe iod. O e all, we can conclude ha connec edness is
shown o be condi ional on he ex en o economic and inancial unce ain ies ma ked by he
p opaga ion o he co ona i us. This con i ms he esul s o he Je ibi and Fakh ekh (2020)
and Je ibi e al. (2020). Such compa a i e s udies would imp o e ou unde s anding o he
po olio s a egies o in e na ional in es o s among di e en asse s, especially du ing c isis
pe iod.
Nex , we cons uc he di ec ional connec edness ne wo k based on he ne pai wise
connec edness. Figu e 5 displays he ne wo k plo o he ull-sample s a ic implied ola ili y
connec edness o each c yp ocu ency, s ock index and gold. Each o hem is se as a node
and a di ec ional edge om i o jexis s only i he ne pai wise connec edness om i o jis
posi i e. Then, he nodes ep esen he s ock index, gold and cu ency se ies included in ou
analysis. The da k colo o each node indica es he deg ee o he o al “Ne ”connec edness o
Figu e 5.
Di ec ional
connec edness
ne wo k (in)
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he ola ili y indices, i.e. he ne di e ence o “To all o he s”minus “F om all o he s.”These
would help us iden i y he quan um and di ec ions o shocks. Using he node da k colo and
a ea, we a emp ed o con ey ull-scale in o ma ion o he sys em-wise connec edness
dynamics o he s ock indices, gold and c yp ocu encies co e ed in his pape .
To simpli y isualiza ion and in e p e a ion, Figu e 5 is based on only he maximum ne
pai wise connec edness om all he o he nodes o each node i. Subsequen ly, in Figu e 5,
each node-is o deg ee 1, which e lec s only he maximum in o ma ion in low om he o he
nodes. Simila ly, in Figu e 6, each node is o ou -deg ee 1, which e lec s only he maximum
in o ma ion ou low om each node o he o he nodes.
In Figu e 5, NIKKEI and S&P500 a e he la ges ecei e s among s ocks om he sys em
ollowed by he es o s ocks. We also no iced ha he dis ances be ween CAC40, DAX 30,
FTSE, FTSEMIB and SP/TSX a e e y sho . This e lec s he high pai wise co ela ion
among his se o s ock indices. Fu he mo e, he disposi ion o NIKKEI and S&P500 in he
igu e e lec s hei low co ela ion wi h o he s. The same conclusions could be d awn om
he hickness o he a ows.
Besides, amid C yp ocu encies, we igu e ou ha DASH, MONERO, ETHEREUM and
BITCOIN a e no only he g ea es ecei e s bu also closely ela ed o o he s in e ms o
ola ili y connec edness. They a e ollowed by MAKER, which is no closely ela ed o o he
s udied c yp ocu encies, e lec ing he low pai wise connec edness wi h o he s. Mo e
in e es ingly, we no iced ha Ripple, Bi coin Gold and Li ecoin a e he leas ecei e s and
disposed away om he o he c yp ocu encies. The e o e, we can de ec hei po en ial
s a us as hedge c yp ocu encies agains sys emic isk.
Figu e 6.
Di ec ional
connec edness
ne wo k (ou )
C yp ocu encies,
gold and s ock
ma ke s
481
In ac , Figu e 6 displays he maximum in o ma ion ou low om each node o he o he
nodes. Mo eo e , h ough he disposi ion o each node, i s da kness and he hickness o
a ows, we no iced ha conce ning he s ock indices; CAC40, DAX30, FTSE, FTSEMIB and
SP/TSX a e he g ea es ansmi e s as hey a e he g ea es ecei e s. They a e also highly
co ela ed since hey a e closely disposed and he linking a ows a e hick. We ema kably
no iced ha NIKKEI and S&P500 a e he lowes ansmi e s among o he s; besides, hey a e
g aphically disposed a om he men ioned g oup o co ela ed indices. We can conclude
ha hey a e no signi ican ly connec ed o he o he indices. Tu ning o c yp ocu encies, we
igu e ou ha E he eum and Bi coin a e he g ea es ansmi e s ollowed by Mone o and
Dash as hey signi ican ly ansmi ola ili y o Mone o and Dash. On he o he hand, Bi coin
Gold, Ripple, Make and Lie coin a e he lowes ansmi e s since he nodes a e clea e and
smalle , indica ing hei low in luence o ola ili y. Besides, hey a e g aphically dispe sed
and he a ows a e no hick, e lec ing he low pai wise connec edness be ween hem.
Finally, we can easily no ice ha gold is a low ansmi e as i is a low ecei e . Besides, he
gold node is g aphically disposed away om o he s wi h hin a ows meaning ha i is no
signi ican ly connec ed wi h o he c yp ocu encies and s ock indices which indica ing i is a
sa e ha en du ing he pandemic COVID-19.
5. Conclusion
This s udy in es iga es he connec edness be ween c yp ocu encies, gold and G7 s ock
indices and aking in o accoun he e ec o he COVID-19 c isis.
Acco ding o he pai wise connec edness analysis, Li ecoin is a di e si ie in a c yp os’
po olio. When we conside gold in po olio asse s, i becomes isible ha gold is a
di e si ie o c yp os. Besides, o a c yp o and s ocks po olio, we ind ha he leas
ansmi e s o ola ili y a e Dash, as c yp o-cu ency and DAX 30, as a s ock index. A las
and no leas , CAC 40 is a di e si ie in a po olio o s ocks and gold. Finally, o a s ock index
po olio, FTSEMIB is he leas ecei e and so, i is a di e si ie in his case. I is wo h no ing
ha in gene al, c yp ocu encies a e di e si ie s o a s ock index po olio and allow
ola ili y educ ion especially in c isis pe iod.
On he o he hand, dynamic connec edness esul s do no signi ican ly di e om
s a ic connec edness, we jus men ion ha Bi coin Gold becomes a ne ecei e . The scope
o connec edness is main ained a e he shock o mos o c yp ocu encies, excep o
Dash and Bi coin Gold, which join p e ious le el. Fo he s ocks, he high spillo e is
de ec ed o all he s udied s ocks bu loses scope a e he c isis pe iod and almos e u ns
o no mal alues, excep o Nikkei and SP&500. Howe e , Bi coin has always been he
g ea es ne ansmi e o ola ili y connec edness o spillo e s o c yp ocu encies
Gold and G7 s ock indices, du ing he COVID-19 c isis. On he o he hand, Make is he
g ea es ne - ecei e o ola ili y om he global sys em. As o gold, we no iced ha i
emains a ne ecei e wi h a signi ican inc ease in he ne ecep ion du ing he c isis
pe iod.
O e all, we can conclude ha connec edness is shown o be condi ional on he ex en o
economic and inancial unce ain ies ma ked by he p opaga ion o he co ona i us.
NIKKEI and S&P500 a e he g ea es ecei e s among s ocks om he sys em ollowed by
he es o s ocks, including CAC40, DAX30, FTSE, FTSEMIB and SP/TSX, which a e he
g ea es ansmi e s as hey a e he g ea es ecei e s. The e o e, his con i ms he
con agion o he COVID-19 c isis be ween G7 s ock ma ke s. In con a y, NIKKEI and
S&P500 a e he lowes ansmi e s. As a consequence, he Ame ican and Japanese s ock
ma ke s a e mo e a ac i e o in es o s since hey a e less exposed o he shocks o o he
ma ke s. Howe e , Bi coin Gold and Li ecoin a e he leas ecei e s om he o he
c yp ocu encies, leading o he conclusion ha hey can be di e si ie s du ing c isis. As o
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33,4
482
E he eum and Bi coin, hey a e he g ea es ansmi e s om o he c yp ocu encies, which
con i m hei weigh and in luence on he c yp o-cu ency ma ke .
On he o he hand, gold is a low ansmi e and ecei e , which con i ms ha i is a sa e
ha en. The e o e, he in es o s can di e si y hei po olios in o de o educe hei s isks, by
adding Bi coin Gold and Li ecoin, when in es ing in Gold and G7 s ock ma ke s.
No es
1. h ps://www. elle epo .com
2. h ps://www. eu e s.com
3. h ps://www.ba ons.com
4. h ps://kyodonews.ne
5. h ps://www.businessinside .
6. h ps://c yp onau e. 0
7. Ou esul s a e qui e obus o 100 and 150 olling-window size as well. The esul s a e a ailable om
he co esponding au ho upon eques .
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