This paper applies the multivariate GARCH models to investigate the role of Bitcoin as a hedge and safe haven for ASEAN+6 stock markets compared to gold. We used daily data for the dates 2 January 2017–20 January 2023, covering the recent COVID-19 pandemic. The empirical findings provide...

Purpose This paper aims to investigate the effects of volatility transmission among Bitcoin and other leading cryptocurrencies, namely, Binance USD, BNB, Cardano, Dogecoin, Ethereum, Polkadot, Polygon, Solana, Tether, USD Coin and XRP. Design/methodology/approach The multivariate BEKK-GARCH...