Investigating the Mutual Spillover of Shocks and Volatility in Financial Market Returns with the Cryptocurrency Market

Articles in Press

Document Type : Original Article

Authors
Mohammad Kamalipour Ravari
Reza Zeinalzadeh
َAli Raeispour Rajabali
Department of Economic, Ke.C., Islamic Azad University, Kerman, Iran.
10.22034/jik.2025.78155.4648
Abstract
The shocks and volatilities in the returns and prices of financial assets spill over into each other. Accordingly, the financial markets and the Cryptocurrency market are not independent of each other. This research investigate the mutual spillover of shocks and fluctuations between Bitcoin returns and financial markets in Iran during the period 21 March 2018-10 October 2024 using the MGARCH-BEKK method. The results showed that the spillover of Bitcoin return shocks have a positive and significant effects on stock market returns, and the spillover of Bitcoin return shocks have no significant effects on stock market returns. While the spillover of return impulses and the spillover of stock market volatility do not have a significant impact on Bitcoin returns. The spillover of Bitcoin return shocks and its volatility do not have a significant effects on the exchange rate returns. However, the spillover of exchange rate return shocks has a negative and significant effects on Bitcoin return, and the spillover of exchange rate returns volatility have insignificant effects on Bitcoin return. The spillover of Bitcoin return shocks do not have a significant effect on gold returns. However, the spillover of Bitcoin returns volatility have positive and significant effects on gold returns. In contrast, the spillover of gold returns shocks has a positive and significant effects on Bitcoin return, while the spillover of gold returns volatility does not has a significant effect on Bitcoin return. The spillover of Bitcoin return shocks have negative and significant effect on oil returns. However, the spillover of Bitcoin return volatilities have no significant effect on oil returns. But the spillover of Bitcoin return volatilities do not occur on oil returns. While the spillover of oil return impulses has a negative and significant effect on Bitcoin returns. Also, the spillover of oil price return volatilities have positive and significant effects on Bitcoin returns.
Keywords
Cryptocurrency
Bitcoin
Stock Market
Gold Return
Oil Return
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