Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices

Elsayed, Ahmed H.; Gozgor, Giray; Yarovaya, Larisa

Abstract

This paper examines the dynamic connectedness of return- and volatility spillovers among cryptocurrency index (CRIX), Gold, and uncertainty measures. Apart from traditional uncertainty measures, we also consider two novel uncertainty measures: Cryptocurrency Policy Uncertainty and Cryptocurrency Price Uncertainty indices. We observe that cryptocurrency policy uncertainty is the main transmitter of the return spillovers to other variables. In addition, Gold is a net receiver of both the return and the volatility spillovers. These results are valid under bearish, bullish, and normal market conditions. Our findings contribute to the literature considering the spillover effect between cryptocurrencies and other assets and their determinants.

Citation

Elsayed, A. H., Gozgor, G., & Yarovaya, L. (2022). Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices. Finance Research Letters, 47(Part B), Article 102732. https://doi.org/10.1016/j.frl.2022.102732

• Journal Article Type: Article
• Acceptance Date: Feb 13, 2022
• Online Publication Date: Feb 15, 2022
• Publication Date: 2022-06
• Deposit Date: Feb 15, 2022
• Publicly Available Date: Feb 15, 2023
• Journal: Finance Research Letters
• Print ISSN: 1544-6123
• Electronic ISSN: 1544-6131
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 47
• Issue: Part B
• Article Number: 102732
• DOI: https://doi.org/10.1016/j.frl.2022.102732
• Keywords: dynamic connectedness; cryptocurrency; policy uncertainty; price uncertainty; gold
• Public URL: https://durham-repository.worktribe.com/output/1217071