Bitcoin and Integration Patterns in the Forex Market
15 Pages Posted: 14 Jun 2019
Date Written: January 1, 2019
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
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