The nexus between the volatility of Bitcoin,gold,and American stock markets during the COVID-19 pandemic:evidence from VAR-DCC-EGARCH and ANN models  

作　　者：Virginie Terraza Asli Boru Ipek Mohammad Mahdi Rounaghi 

机构地区：[1]Department of Economics and Management,University of Luxembourg,6,Rue Richard Coudenhove-Kalergi,1359,Luxembourg,Luxembourg [2]MRE,University of Montpellier,Avenue Raymond Dugrand,CS79606,34960,Montpellier Cedex 2,France [3]Department of Management Information Systems,Kütahya Dumlupınar University,43300,Kütahya,Turkey [4]Department of Economics and Management,University of Luxembourg,Luxembourg,Luxembourg

出　　处：《Financial Innovation》2024年第1期3558-3591,共34页金融创新(英文)

基　　金：supported by the Department of Economics and Management,University of Luxembourg;financial support from the Department of Economics and Management,University of Luxembourg.

摘　　要：The spread of the coronavirus has reduced the value of stock indexes,depressed energy and metals commodities prices including oil,and caused instability in financial markets around the world.Due to this situation,investors should consider investing in more secure assets,such as real estate property,cash,gold,and crypto assets.In recent years,among secure assets,cryptoassets are gaining more attention than traditional investments.This study compares the Bitcoin market,the gold market,and American stock indexes(S&P500,Nasdaq,and Dow Jones)before and during the COVID-19 pandemic.For this purpose,the dynamic conditional correlation exponential generalized autoregressive conditional heteroskedasticity model was used to estimate the DCC coefficient and compare this model with the artificial neural network approach to predict volatility of these markets.Our empirical findings showed a substantial dynamic conditional correlation between Bitcoin,gold,and stock markets.In particular,we observed that Bitcoin offered better diversification opportunities to reduce risks in key stock markets during the COVID-19 period.This paper provides practical impacts on risk management and portfolio diversification.

关 键 词：Bitcoin market Gold market American stock markets COVID-19 pandemic VAR-DCC-EGARCH model ANN model 

分 类 号：F75[经济管理—国际贸易]