Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets

16 Pages Posted: 2 Apr 2020

See all articles by Nektarios Aslanidis

Nektarios Aslanidis

Universitat Rovira Virgili

Aurelio F. Bariviera

Rovira i Virgili University - Department of Business

Christos S. Savva

Cyprus University of Technology - Department of Commerce, Finance and Shipping

Date Written: March 6, 2020

Abstract

This paper adopts a versatile multivariate conditional correlation model to estimate daily seasonality in the returns, the volatility, and the correlations between stocks, bonds, gold and Bitcoin. Besides the well known seasonality in stocks and bonds, the day-of-the-week effect is also present in Bitcoin. Mondays are associated with higher Bitcoin returns, while Wednesdays with higher Bitcoin volatility. As opposed to previous literature, our results indicate strong evidence of Bitcoin’s leverage effect. Moreover, we show that daily correlations between Bitcoin and traditional assets are higher at the beginning of the week, while the volatility of these correlations decreases over the week. Our results offer interesting insights in terms of investment and portfolio diversification, that can be applied to the analysis of systematic risk asset allocation and hedging.

Keywords: Day-of-the-Week Effect, Dynamic Conditional Correlation, Bit-Coin, Volatility Seasonality

JEL Classification: G01, G10, G12, G22

Suggested Citation

Aslanidis, Nektarios and Bariviera, Aurelio F. and Savva, Christos S., Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets (March 6, 2020). Available at SSRN: https://ssrn.com/abstract=3550879 or http://dx.doi.org/10.2139/ssrn.3550879

Nektarios Aslanidis (Contact Author)

Universitat Rovira Virgili ( email )

Tarragona
Spain

Aurelio F. Bariviera

Rovira i Virgili University - Department of Business ( email )

Av. Universitat, 1
Reus, Tarragona 43204
Spain
+34 977759833 (Phone)
+34 977759810 (Fax)

HOME PAGE: http://www.aureliofernandez.net

Christos S. Savva

Cyprus University of Technology - Department of Commerce, Finance and Shipping ( email )

Limassol, 3603
Cyprus
00357252349 (Phone)
00357252674 (Fax)

HOME PAGE: http://www.csavva.com

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