Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258839 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 3 [Article No.:] 116 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-9
Publisher: 
MDPI, Basel
Abstract: 
This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetric volatility transmission on both markets. We apply MGARCH-BEKK and the algorithm-based GA2M machine learning model. The negative shocks to returns impact the S&P500 and the cryptocurrency market more than the positive shocks on both markets. This study also indicates evidence of unidirectional cross-market asymmetric volatility transmission from the cryptocurrency market to the S&P500 during the COVID-19 pandemic. The research findings show the potential benefit of portfolio diversification between the S&P500 and BGCI.
Subjects: 
MGARCH-BEKK
GA2M
machine learning
volatility spillovers robustness
cryptocurrency
JEL: 
C32
C58
C63
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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