This study examines the key determinants of Bitcoin’s price dynamics and its volatility contagion with major financial assets, including Brent oil, gold, USDX (US Dollar Index), EURO-USD, DJIA, and Nikkei-225, using advanced econometric techniques. By employing Wavelet Coherence and multivariate DCC-GARCHmodelsondaily data from January 2010 to October 2022, we uncover critical insights into Bitcoin’s interconnectedness with traditional markets. Our Wavelet Coherence analysis reveals that Bitcoin exhibits a leading relationship with Brent crude oil, particularly during crisis periods, while displaying negative correlations with gold, challenging its status as a consistent safe-haven asset. Strong comovements are observed between Bitcoin and currency index pairs (USDX and EURO-USD), whereas Bitcoin and DJIA exhibit an inverse relationship, suggesting diversification potential. The DCC-GARCH results further identify distinct volatility transmission mechanisms: while no short-term spillovers exist between Bitcoin and Brent oil, long-term volatility persistence is significant. Gold confirms its role as a stable hedge, showing minimal volatility clustering. Meanwhile, USDX, EURO-USD, and DJIA exhibit long-term volatility persistence, with Nikkei-225 also demonstrating prolonged volatility effects. These findings provide practical guidance for investors in constructing resilient portfolios by understanding Bitcoin’s volatility linkages with traditional assets. This study not only advances empirical knowledge of cryptocurrency markets but also offers actionable insights for risk management and strategic investment decisions.

References are not ready for this file yet, please refer to reference from the PDF file

Keywords

Bitcoin Volatility; Volatility Contagion; Wavelet Coherence; Safe-Haven Assets