Skip to main page content
U.S. flag

An official website of the United States government

Dot gov

The .gov means it’s official.
Federal government websites often end in .gov or .mil. Before sharing sensitive information, make sure you’re on a federal government site.

Https

The site is secure.
The https:// ensures that you are connecting to the official website and that any information you provide is encrypted and transmitted securely.

Access keys NCBI Homepage MyNCBI Homepage Main Content Main Navigation
. 2022 Dec:50:103289.
doi: 10.1016/j.frl.2022.103289. Epub 2022 Aug 29.

COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover

Michael Di  1 , Ke Xu  1
Affiliations

COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover

Michael Di et al. Financ Res Lett. 2022 Dec.

Abstract

This paper examines implied volatility spillovers and connectedness between Bitcoin and a broad range of traditional financial assets (U.S. equity market, gold, crude oil, emerging markets and developing markets) from January 8, 2019 to January 20, 2022. Vector Auto-Regression and Generalized Forecast Error Variance Decomposition are used to compare results before COVID-19, during COVID-19 and after the vaccine becomes available. Results indicate higher connectedness during COVID-19 but very low connectedness after the vaccine is available, signaling recovery in financial markets. We also find that Bitcoin is a strong transmitter of volatility during COVID-19.

Keywords: Bitcoin; COVID-19 recovery; COVID-19 vaccine; Implied volatility spillover.

PubMed Disclaimer

Conflict of interest statement

The authors declare that they have no known competing financial interests or personal relationships that could have appeared to influence the work reported in this paper.

Figures

Fig. 1
Fig. 1
Implied volatility indexes (in levels). Figure 1 plots implied volatility for Bitcoin (bvol), U.S. equity markets (vix), gold (gvx), crude oil (ovx), emerging markets (vem), developed markets (vdm) and trade weighted U.S. dollar price.
Fig. 2
Fig. 2
Daily number of new cases (7-day moving average). Figure 2 plots a 7-day moving average of daily new COVID-19 cases globally in millions.
See this image and copyright information in PMC

References

    1. Badshah I.U. Volatility spillover from the fear index to developed and emerging markets. Emerg. Mark. Finance Trade. 2018;54(1):27–40.
    1. Baig A.S., Butt H.A., Haroon O., Rizvi S.A.R. Deaths panic, lockdowns and us equity markets: the case of COVID-19 pandemic. Finance Res. Lett. 2021;38 - PMC - PubMed
    1. Baur D.G., Hong K., Lee A.D. Bitcoin: Medium of exchange or speculative assets? J. Int. Financial Mark. Inst. Money. 2018;54:177–189.
    1. Benlagha N., El Omari S. Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic. Finance Res. Lett. 2022;46(b) - PMC - PubMed
    1. Bouri E., Cepni O., Gabauer D., Gupta R. Return connectedness across asset classes around the COVID-19 outbreak. Int. Rev. Financial Anal. 2021;732020

LinkOut - more resources