Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices

Ahmed H. Elsayed, Giray Gozgor, Larisa Yarovaya

Research output: Contribution to journalArticlepeer-review

60 Citations (Scopus)

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.

Original languageEnglish
Article number102732
JournalFinance Research Letters
Volume47
DOIs
Publication statusPublished - Jun 2022
Externally publishedYes

Keywords

  • Cryptocurrency
  • Dynamic connectedness
  • Gold
  • Policy uncertainty
  • Price uncertainty

ASJC Scopus subject areas

  • Finance

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