Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes?

摘要: In the present paper, we investigate connectedness within cryptocurrency markets as well across Bitcoin index (hereafter, BPI) and widely traded asset classes such traditional currencies, stock market indices commodities, gold Brent oil. A spill over approach with spectral representation of variance decomposition networks, is employed to measure connectedness. Results show no significant spillover effects between nascent cryptocurrencies other financial markets. We suggest that are real independent instruments pose danger system stability. Concerning markets, report a time–frequency–dynamics nature. Moreover, total mostly dominated by short frequency component (2–4 days) leading conclusion this highly speculative at present. These findings provide insights for regulators potential international investors.