Spillovers in High-order Moments of Stocks, Foreign Currency Exchange and Bitcoin

Xinying He

doi:10.6981/FEM.202411_5(11).0008

Authors

Xinying He

DOI:

https://doi.org/10.6981/FEM.202411_5(11).0008

Keywords:

Higher-order Moments; Spillover Effects; Bitcoin; Financial Instability.

Abstract

This study investigates the higher-order spillover effects between stocks, exchange rates, and Bitcoin in the U.S. By using weekly data, the analysis focuses on realized volatility, realized skewness, and realized kurtosis innovatively introduces the jump statistic. A Vector Autoregressive model is constructed for Granger causality tests, and the Generalized Impulse Response Function is applied to analyze the dynamic interactions between different markets. The results show that there are varying spillover effects between Bitcoin and traditional financial assets across different higher-order estimators, underscoring strong, non-negligible interactions among third and fourth order moments. Policymakers should closely monitor the potential instability that Bitcoin poses to the global financial system and implement differentiated regulatory strategies for different markets.

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