This paper examines return and volatility connectedness between Bitcoin, traditional financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and major global uncertainty measures (the Economic Policy Uncertainty-EPU, the Twitter-based Economic Uncertainty-TEU, and...

This paper examines the dynamic connectedness of return- and volatility spillovers among cryptocurrency benchmark index (CRIX), Gold, and uncertainty measures. Apart from traditional uncertainty measures, such as the Volatility Index and the Economic Policy Uncertainty, we also consider two...

In this study, we introduce a novel framework of partial connectedness measures with which we investigate contagion dynamics between different types of oil price shocks and exchange rates. On general principles, oil price shocks are persistent net transmitters of shocks within the network....

The current study contributes to the banking literature by testing the joint impacts of competition and profitability on different types of risk (credit risk, liquidity risk, capital risk and insolvency risk) of a sample of Chinese commercial banks over the period 2003-2015 under an ordinary...

We analyse the impact of the COVID-19 pandemic on spillover between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, and Bitcoin prices, VIX and EPU index affect the relationships between these markets during the COVID-19 pandemic. The results...

Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts and a net receiver during booms. Analysis of...

We investigate the interconnectedness between CPI inflation in the G7 countries and China and oil price inflation over the period 1987M6-2020M6. To this end, we employ the multivariate DECO-GARCH model and both time-domain and frequency-domain spillover methods to achieve the objectives. We find...