Asymmetric spillover from Bitcoin to green and traditional assets: A comparison with gold

Abstract

This paper studies asymmetric 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 to compare the effectiveness of the underlying digital investment shelter of Bitcoin with its traditional counterpart of gold. Statistical evidence indicates that the cross-market spillover features evident asymmetry and non-linearity from three perspectives involving various quantiles of the joint distribution of dependent and independent variables, data in 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 dependence with financial assets under different market conditions, while such the role is found to be relatively stronger for green assets compared to that for traditional assets. Moreover, the digital investment shelter is shown to be more effective than the traditional shelter given Bitcoin’s weaker or even more negative dependence with both green and traditional financial assets than gold. Additional analyses confirm the robustness of our findings that should be of interest to various stakeholders.