Research Paper
Article citation: Choudhary, S., Jain, A., & Biswal, P. C. (2024). Dynamic linkages among bitcoin, equity, gold and oil: An implied volatility perspective. Finance Research Letters, 62, 105220.
Abstract
Bitcoin Implied Volatility, derived from the recently launched options on Bitcoin, provides a new forward-looking measure of uncertainty in financial markets. This paper explores its long-run and short-run relationships with the implied volatilities of equity, gold, and oil. The NARDL model reveals a long-run relationship among Bitcoin volatility and others. Kyrtsou-Labys Nonlinear Causality tests established pair-wise causality between the implied volatilities under study. Our findings highlight the integration of Bitcoin markets with global financial markets, indicating the coming of age of the Bitcoin market.