Dynamic dependencies and return connectedness among stock, gold and Bitcoin markets: Evidence from South Asia and China





South Asia and China, gold, Bitcoin, dependency and connectedness, COVID-19


Research background: In order to examine market uncertainty, the paper depicts broad patterns of risk and systematic exposure to global equity market shocks for the major South Asian and Chinese equity markets, as well as for specific assets (gold and Bitcoin).

Purpose of the article: The purpose of this paper is to investigate the dynamic correlation among the major South Asian equity markets (India and Pakistan), the Chinese equity markets, the MSCI developed markets, Bitcoin, and gold markets.

Methods: While applying the GARCH-Vine-Copula model and the TVP-VAR Connectedness approach, major patterns of dependency and interconnectedness between these markets are investigated.

Findings & value added: We find that risk shocks from developed equity markets are critical in these dynamic links. A net return spillover from Bitcoin to the Chinese and Pakistani stock markets throughout the sample period is reported. Interestingly, gold can be applied to hedge and diversify positions in China and major South Asian markets, particularly following the COVID-19 outbreak. Our paper presents three main original add valued: (1) This paper adds global factors to the targeted study of risk transmission among South Asian and Chinese stock markets for the first time. (2)The assets of Bitcoin and gold were added to the study of risk transmission among South Asian and Chinese stock markets for the first time, enabling the research in this paper to observe the non-linear link among the South Asian and Chinese stock markets with them. (3) Our research adds to these lines of inquiry by giving empirical evidence on how COVID-19 altered the dependent structure and return spillover dynamics of Bitcoin, gold and South Asian and Chinese stock markets for the first time. Our results have critical implications for investors and policymakers to effectively understand the nature of market forces and develop risk-averse strategies.


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How to Cite

Zeng, H., Lu, R., & Ahmed, A. D. (2023). Dynamic dependencies and return connectedness among stock, gold and Bitcoin markets: Evidence from South Asia and China. Equilibrium. Quarterly Journal of Economics and Economic Policy, 18(1), 49–87. https://doi.org/10.24136/eq.2023.002