Central European Business Review X:X | DOI: 10.18267/j.cebr.405

The Connectedness between Bitcoin, Stock Market, Gold, Oil, Bond and Exchange Rate: Evidence from Quantile VAR Approach and Portfolio Strategies

Zekai Şenol ORCID...1, Bahri Fatih Tekin ORCID...2
1 Sivas Cumhuriyet University, Faculty of Economics and Administrative Sciences, Department of Finance and Banking, Türkiye. Email: zsenol@cumhuriyet.edu.tr (corresponding author)
2 Sivas Cumhuriyet University, Cumhuriyet Social Sciences Vocational School, Department of Finance, Banking and Insurance, Türkiye. Email: ftekin@cumhuriyet.edu.tr

This study examines the dynamic connectedness between Bitcoin and various financial assets, including the stock market, gold, oil, bonds, and exchange rates, as well as explores portfolio strategies involving these assets. The study covers the period from January 2, 2015, to March 1, 2024. The quantile connectedness approach and portfolio strategies are utilized in the analysis. The findings are as follows: Intermarket volatility spillover significantly increases under extreme conditions. Bitcoin emerges as a transmitter during bullish markets and acts as a receiver in bearish and normal market conditions. Gold serves as a receiver in extreme conditions and a transmitter in normal conditions. Unlike gold, oil acts as a transmitter under extreme conditions and functions as a receiver under normal conditions. Among the fundamental markets, the stock market is the most significant shock transmitter. In risk-mitigating portfolios, the proportion of Bitcoin is low, while the proportions of gold and the dollar index are high. Bitcoin has been found to have low hedging properties.
Implications for Central European Audience: Since the emergence of Bitcoin in 2008, the cryptocurrency market has developed rapidly. Bitcoin and cryptocurrencies have come to occupy an important place in financial markets in terms of value and volume. Bitcoin can affect portfolio management in the financial system in terms of diversification, hedging, risk management, portfolio strategies, and linkages between financial assets. This study investigates the linkages, hedging and portfolio strategies between Bitcoin and the stock market, gold, oil, bond and exchange rate markets. The results of the study are important for portfolio managers, risk managers, financial analysts and economic managers.

Keywords: Bitcoin; Gold; Stock; Quantile Connectedness; Portfolio Strategies; Hedging

Received: November 4, 2024; Revised: February 25, 2025; Accepted: March 27, 2025; Prepublished online: June 20, 2025 

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