Insights into the dynamics of market efficiency spillover of financial assets in different equity markets

This paper provides multidisciplinary insights into the dynamics of market efficiency spillover of financial assets, considering Bitcoin, DXY (U.S. Dollar Index), S&P 500, and crude oil in different equity markets. Given this, we employ the multifractal detrended fluctuation analysis (MF-DFA) and the time-varying parameter vector autoregressive models (TVP-VAR) to illuminate these complex interplays between these assets and other equity markets. Our findings display that Bitcoin acts as a net transmitter, whereas DXY functions as a net receiver. Additionally, Bitcoin, DXY, and S&P 500 clearly exhibit dynamics in information transmission, whereas crude oil does not. It means that the low connectedness of the oil market in terms of market efficiency spillover, suggesting that the oil market may play an effective role as a hedging instrument for other assets.