Dynamic connectedness between Bitcoin and equity market information across BRICS countries: Evidence from TVP-VAR connectedness approach

PurposeRecent trends and developments in Bitcoin have led to a proliferation of studies that analyzed the Bitcoin returns and volatility; however, the volatility connectedness between Bitcoin and equity market information in emerging countries quietly remains scarce. Regarding this deficiency, the p...

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Bibliographic Details
Published in:International journal of managerial finance 2020-05, Vol.16 (3), p.357-371
Main Authors: Ahmed Mohamed Dahir, Mahat, Fauziah, Bany-Ariffin Amin Noordin, Nazrul Hisyam Ab Razak
Format: Article
Language:English
Subjects:
Banking industry
Commodities
Digital currencies
Diversification
Econometrics
Emerging markets
Equity
International finance
Market prices
Portfolio diversification
Securities markets
Spillover effect
Stock exchanges
Volatility
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