Cross-Asset Connectedness of Bitcoin, Gold, and Equity Markets: A Macroprudential Systematic Review (2018–2025)
(Keterkaitan Antar-Aset antara Pasar Bitcoin, Emas, dan Saham: Tinjauan Sistematis Makroprudensial (2018–2025))
Keywords:
Bitcoin, Cross-Asset Connectedness, Gold, Macroprudential, Volatility SpilloversAbstract
This study aims to synthesize empirical evidence on spillovers and connectedness among Bitcoin, gold, and stock markets from a macroprudential perspective during the period 2018–2025. The research applies a narrative systematic review (NSR) approach by conducting a structured literature search in Scopus and Google Scholar, followed by screening, eligibility assessment, and thematic synthesis of relevant studies. From an initial pool of 62 articles, nine empirical studies met the inclusion criteria and were analyzed. The findings indicate that cross-asset connectedness is dynamic and tends to intensify during periods of market stress, particularly during the COVID-19 pandemic. In many global and advanced markets, Bitcoin often acts as a net transmitter of volatility spillovers, while gold generally exhibits lower connectedness and frequently functions as a diversifier or hedging asset. However, evidence from emerging markets remains mixed. This study contributes by providing a structured synthesis of recent empirical evidence and highlighting macroprudential implications for monitoring cross-asset risk transmission in increasingly integrated financial markets.
Abstrak
Penelitian ini bertujuan untuk menyintesis bukti empiris mengenai spillover dan connectedness antara Bitcoin, emas, dan pasar saham dari perspektif makroprudensial pada periode 2018–2025. Metode yang digunakan adalah narrative systematic review (NSR) dengan melakukan pencarian literatur secara terstruktur pada basis data Scopus dan Google Scholar, kemudian dilanjutkan dengan proses penyaringan, penilaian kelayakan, serta sintesis tematik terhadap studi yang relevan. Dari total 62 artikel yang teridentifikasi, sembilan studi empiris memenuhi kriteria inklusi dan dianalisis lebih lanjut. Hasil penelitian menunjukkan bahwa connectedness antar aset bersifat dinamis dan cenderung meningkat selama periode tekanan pasar, khususnya selama pandemi COVID-19. Di pasar global dan maju, Bitcoin sering berperan sebagai net transmitter dalam spillover volatilitas, sementara emas umumnya menunjukkan tingkat keterhubungan yang lebih rendah dan berfungsi sebagai aset diversifikasi atau lindung nilai. Penelitian ini berkontribusi dengan menyediakan sintesis terstruktur atas bukti empiris terbaru serta menyoroti implikasi makroprudensial dalam pemantauan transmisi risiko lintas aset pada sistem keuangan yang semakin terintegrasi.
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