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Keywords: Directional predictability
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Journal Articles
Directional predictability and volatility spillover effect from stock market indexes to Bitcoin: evidence from developed and emerging markets
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Journal:
The Journal of Risk Finance
Journal of Risk Finance (2023) 24 (2): 226–243.
Published: 17 January 2023
...Imen Omri Purpose This paper aims to quantify the volatility spillover impact and the directional predictability from stock market indexes to Bitcoin. Design/methodology/approach Daily data of 15 developed and 15 emerging stock markets are used for the period March 2017–December 2021...
