Bitcoin and CEE stock markets: fresh evidence from using the DECO-GARCH model and quantile on quantile regression

Purpose This study examines the inter-linkages between Bitcoin prices and CEE stock markets (Hungary, Czech Republic, Poland, Romania Croatia). Design/methodology/approach The dynamic contemporaneous nexus has been analyzed using both multivariate DECO-GARCH model proposed by Engle Kelly (2012) quantile on (QQ) methodology Sim Zhou (2015). Our is implemented daily data spanning from 6 September 2012 to 12 August 2019. Findings First, findings show that average return equicorrelation across indices are positive, even though it found be time-varying over research period shown. Second, Bitcoin-CEE market association positive signs for most pairs of quantiles variables represents a rather similar pattern cases Republic Croatia. However, weaker primarily negative connectedness Hungary Romania, respectively. Furthermore, interconnectedness co-movements in returns changes significantly within each nation, indicating Bitcoin-stock relationship dependent cycle nature price shocks. Practical implications evidence documented this significant divergent economic agents, including global investors, risk managers policymakers, who would benefit comprehensive knowledge build efficient risk-hedging models conduct appropriate policy reactions information spillover effects different time horizons. Originality/value paper first employing QQ shed light countries. DECO uses more compute correlations pair than standard conditional correlation (DCC) models, declining estimation noise correlations. Besides, approach allows us capture some nuanced features explore interdependence its entirely. Therefore, main contribution article related literature field significant. 研究目的 本研究旨在探討比特幣的價格與中東歐股市(匈牙利、捷克共和國、波蘭、羅馬尼亞和克羅地亞) 之相互聯繫. 研究設計/方法/理念 研究使用恩格爾與凱利(2012)(Engle (2012)) 提出的多變量DECO-GARCH模型及Sim 與Zhou(2015)(Sim ( 2015)) 研製的分位數-分位數方法來分析動態同期的聯繫。我們的研究使用由2012年9月6日至2019年8月12日期間取得的每日數據來進行. 研究結果 首先、研究結果顯示、跨比特幣價格與中東歐股價指數的平均回報當量關聯是正相關的，即使在研究期間被發現是隨時間而變化的。第二、比特幣與中東歐股市之聯繫在大多數兩變數分位數對而言出現正相關跡象，而且，這聯繫在波蘭、捷克共和國及克羅地亞而言表現一個頗相似的模式。唯就匈牙利而言、這聯繫則較弱、而羅馬尼亞則主要是負聯繫。研究結果亦顯示: 比特幣市場內的聯動與股票回報間之內在關聯會在每個國家內跨兩個變數的分位數而顯著地改變，這顯示比特幣-股市關係是取決於股市的週期和比特幣價格衝擊的本質. 實際的意義 本研究所記載的證據、對不同的經濟行為者而言極具意義 (這包括國際投資者、風險管理經理和政策制定者)，因他們會受惠於對比特幣-股市關係的全面認識，他們可建立有效的風險對沖模型、及在不同時間範圍對資訊溢出效應進行適當的政策反應. 研究的原創性/價值 本文為首個研究使用多變量DECO-GARCH模型和分位數-分位數(QQ)方法、來解釋比特幣價格與中東歐國家之股市的關係。這DECO模型使用比標準動態條件關係模型更多資訊，來計算每對回報間之動態關係，這能減少估測雜訊，而且，QQ方法讓我們可以取得比特幣-股市關係的一些細微特徵及全面地探索其相互依賴性。因此，本文的主要貢獻是在這學術領域內有關的文獻上.