Bitcoin and Integration Patterns in the Forex Market

15 Pages Posted: 14 Jun 2019

Date Written: January 1, 2019

Abstract

Integration patterns between five leading conventional currencies after the US dollar and Bitcoin boost the investment potential of the latter relative to its hedging potential. We document that conditional Bitcoin volatility does not influence its dynamic pairwise correlations whereas the change in volatility of conventional currencies do affect the forex market integration patterns.

Keywords: dynamic conditional correlations, Bitcoin, conventional currencies, integration patterns, hedging potential

JEL Classification: C32, C5, E44, G11, G15

Suggested Citation

Virk, Nader, Bitcoin and Integration Patterns in the Forex Market (January 1, 2019). Available at SSRN: https://ssrn.com/abstract=3397657 or http://dx.doi.org/10.2139/ssrn.3397657

Nader Virk (Contact Author)

University of Plymouth ( email )

Drake Circus
Plymouth, Devon PL48AA
United Kingdom

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