Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach

In order to challenge the existing literature that points detachment of Bitcoin from global financial system, we use daily data August 17, 2011–February 14, 2020 and apply a risk spillover approach based on expectiles. Results show reasonable evidence imply existence downside between four assets (equities, bonds, currencies, commodities), which seems be time dependent. Our main findings have implications for participants in both traditional markets sake asset allocation, management. For policy makers, suggest should monitored carefully stability.