From Bitcoin to Green and Tradition Under a Full Distributional Framework : A Comparison with Gold

This paper studies information spillovers from Bitcoin to green and traditional assets by using a full distributional framework established by a recently developed Quantile- on-Quantile approach. The spillovers from gold to the same are further studied as a comparison. Statistical evidence indicates that the spillover from Bitcoin to financial assets features evident asymmetry and non-linearity from three perspectives involving various quantiles of the joint distribution of Bitcoin and financial assets, data in the forms of return and volatility, and before/after the COVID-19 pandemic. The investment sheltering role of Bitcoin is examined by its weakly positive, negligible, or even negative impacts on target assets in different market conditions, while such the role is stronger for green assets compared to that for traditional assets. In contrast, the relation of gold with both types of assets is shown to have similar degrees with the magnitude being close to zero or negative. Its hedge and safe haven role is more evident in the case of data in volatility. Additional analyses confirm the robustness of our findings that should be of interest to various stakeholders