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Directional predictability and volatility spillover effect from stock market indexes to Bitcoin: evidence from developed and emerging markets

Imen Omri (Department of Finance, Law and Business School, Tunis, Tunisia)

Journal of Risk Finance

ISSN: 1526-5943

Article publication date: 17 January 2023

Issue publication date: 10 March 2023

317

Abstract

Purpose

This paper aims to quantify the volatility spillover impact and the directional predictability from stock market indexes to Bitcoin.

Design/methodology/approach

Daily data of 15 developed and 15 emerging stock markets are used for the period March 2017–December 2021.; The author uses vector autoregressive (VAR) model, Granger causality test and impulse response function (IRF) to estimate the results of the study.

Findings

Empirical results show a significant unidirectional volatility spillover impact from emerging markets to Bitcoin and only six stock markets are powerful predictors of Bitcoin return in the short term. Additionally, there is no a difference between developed and developing markets regarding the directional predictability however there is difference in the reaction of Bitcoin return to shocks in the emerging markets compared to developed ones.

Originality/value

The paper proposes different econometric techniques from prior research and presents a comparative analysis between developed and emerging markets.

Keywords

Citation

Omri, I. (2023), "Directional predictability and volatility spillover effect from stock market indexes to Bitcoin: evidence from developed and emerging markets", Journal of Risk Finance, Vol. 24 No. 2, pp. 226-243. https://doi.org/10.1108/JRF-06-2022-0130

Publisher

:

Emerald Publishing Limited

Copyright © 2023, Emerald Publishing Limited

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