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Triasesiarta nur
Universitas Bina Nusantara
Economics, Econometrics & Finance

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The Spill Over Effect of Bitcoin on Fiat Currencies: A Study on Pre and Covid Period Nur, Triasesiarta; Ariefianto, Moch. Doddy; Kevin, Kevin; Sharon, Daniel
Jurnal Akuntansi dan Bisnis Vol 24, No 2 (2024)
Publisher : Accounting Study Program, Faculty Economics and Business, Universitas Sebelas Maret

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20961/jab.v24i1.1258

Abstract

We investigate the spillover effect from Bitcoin to selected Fiat currencies (Major and Emerging currencies) using the USD index as control. Our dataset comprises daily frequency from 2 composite currency indices, 7 Major currencies and 21 Emerging Market (EM) currencies from 01/01/2014 to 29/10/2021 (2042 observations). Applying the Dynamic Conditional Correlation - Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) method, we find evidence of spillover with changing patterns (from largely no spillover to negative spill over) between pre- Covid versus COVID-19 period. During the COVID period, Bitcoin demonstrates hedging capabilities against USD.
Co-Authors Ariefianto, Moch. Doddy Kevin, Kevin Rosinta Ria Panggabean Sharon, Daniel