EXAMINING VOLATILITY SPILLOVERS: THE RELATIONSHIP BETWEEN BITCOIN AND U.S. INDUSTRIAL SECTOR
Keywords:
Bitcoin, U.S. industrial sector, Generalized Vector Autoregressive (VAR), Framework, Volatility spillover, Portfolio diversificationAbstract
This research study investi-gates the volatility spillover effects between Bitcoin and the U.S. Industrial sector, using data from January 2010, June 2019. This research area is significant due to the growing interest in understanding Bitcoin's influence on various financial markets. Notably, prior studies have examined Bitcoin's spillover effects but haven't conclusively determined its predictability in relation to the U.S. Industrial sector. The study employs the Generalized Vector Autoregressive (VAR) Framework, following the approach of Diebold and Yilmaz. This method is grounded in forecast-error variance decompositions derived from Vector Autoregressions (VARs), providing a robust analytical tool for examining inter-market relationships. The findings of this research indicate a limited connection and influence between Bitcoin and the U.S. Industrial sector. Specifically, the study observes an insignificant impact of Bitcoin market volatility on the U.S. Industrial sector. This result is crucial as it contributes to the understanding of Bitcoin’s potential as a hedging tool and its effectiveness in managing financial downturns. Furthermore, the study highlights Bitcoin's role in offering significant portfolio diversification and risk hedging benefits, particularly for U.S. domestic and foreign investors.
Downloads
Published
Issue
Section
License
Copyright (c) 2023 Akaisha Akhlaq, Noshaba Zulfiqar, Faiza Saleem
This work is licensed under a Creative Commons Attribution 4.0 International License.
Submission of an original manuscript to the Journal will be taken to mean that it represents original work not previously published, that it is not being considered elsewhere for publication. And if accepted for publication, it will be published in print and online and it will not be published elsewhere.
The journal main policy reflects in its stance that the publication of scholarly research is exclusively meant to disseminate knowledge and not-for-purposes.
Copyright Statment
Sarhad Journal of Management Sciences is published by Sarhad University of Science and Information Technology Peshawar. This copyright statement entails that all contents (including text, tables, graphs, images, or any materials that is part and parcel of a research article submitted to the journal) belong to/ property of the person who owned it prior to submission this journal. Publication of the submitted article will not affect the ownership of copyright of the subject materials. SJMS and its users benefit from a general licence over all content submitted under a Creative Commons CC-BY licence over all content. However, content which is not part of the submitted article, is the property of SJMS. In a nutshell, the combination of all content on the SJMS website, the look and feel of the website, is the property of Sarhad University of Science and Information Technology Peshawar.
As an author or contributor, you grant permission to others to reproduce your articles, including any graphics and third-party materials supplied by you, in accordance with the SJMS Terms and Conditions. The licence granted to third parties over all contents of each article, including third-party elements, is a Creative Commons Attribution ("CC BY") licence. The current version is CC-BY, version 4.0 (http://creativecommons.org/licenses/by/4.0/), and the licence will automatically be updated as and when updated by the Creative Commons organisation.
You may include a requirement to reproduce copyright notices but you may not restrict the right to reproduce the entire article, including third-party graphics. This means that you must obtain any necessary third-party consents and permissions to reproduce third-party materials in your articles submitted to SJMS.
Copyright Statement updated September 13, 2022.
