What do we know about assets’ behavior and connectedness between Bitcoin, oil, and G7 stocks amid the COVID-19 pandemic?
DOI:
https://doi.org/10.54695/bmi.171.6762Keywords:
G7 stock, Bitcoin, oil, COVID-19, VAR model, impulse response functionAbstract
This study examines information dissemination across G7 markets for Bitcoin, stocks, and oil before and during the COVID-19 pandemic. We used a vector autoregressive model and impulse response function to analyze data. Our findings suggest that the pandemic has had a considerable effect on increasing the directional causalities and time-varying connectedness between Bitcoin, oil, and G7 stock indices during the crisis. Bitcoin significantly influences oil and stock returns during the pandemic. Moreover, the response of Bitcoin to shocks in stocks returns is more pronounced for France, Germany, Italy, and the United Kingdom than Japan, the United States, and Canada. The results could aid investors with portfolio diversification and hedging strategy in different G7 stock markets.
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