Dynamic connectedness between Bitcoin and equity market information across BRICS countries Evidence from TVP-VAR connectedness approach Ahmed Mohamed Dahir and Fauziah Mahat Faculty of Economics and Management, Universiti Putra Malaysia, Serdang, Malaysia Bany-Ariffin Amin Noordin Department of Accounting and Finance, Faculty of Economics and Management, Universiti Putra Malaysia, Serdang, Malaysia, and Nazrul Hisyam Ab Razak Universiti Putra Malaysia, Serdang, Malaysia Abstract Purpose – Recent trends and developments in Bitcoin have led to a proliferation of studies that analyzed the Bitcoin returns and volatility; however, the volatility connectedness between Bitcoin and equity market information in emerging countries quietly remains scarce. Regarding this deficiency, the purpose of this paper is to examine the dynamic connectedness between Bitcoin and equity market information. Design/methodology/approach – Daily data from January 1, 2012 to May 31, 2018 are used. The paper applies a novel time-varying parameter vector autoregression (TVP-VAR) model extended by Antonakakis and Gabauer (2017). This model addresses the biases in coefficient estimates, considering innovations from sources of time variation. Findings – The findings reveal that the volatility transmission of Bitcoin return is not an important source of shocks of market returns in Brazil, Russia, India, China and South Africa (BRICS), suggesting that Bitcoin return contributes less volatility to equity market information. The results further show that Bitcoin is the main receiver of volatility while market price risk is the dominant transmission catalysts for innovations in the rest of the stock market returns. Practical implications – Important implications can be derived from these findings, signaling of the demand to develop and implement volatility connectedness policy measures in order to guarantee the stability of financial assets. However, the most significant limitation lies in the fact that the analysis of this paper is restricted to the volatility connectedness between Bitcoin and equity market information in BRICS countries. Originality/value – By acknowledging the wide range of econometric models, the paper uses TVP-VAR model because this methodology is a useful and relevant tool in modeling the volatility connectedness of financial variables, thus providing meaningful information to policy makers and international investors. Keywords TVP-VAR, Bitcoin, BRICS, Connectedness Paper type Research paper 1. Introduction Bitcoin was introduced in 2009 as an alternative solution to the vulnerable global financial system (Su et al., 2018). Though there are numerous cryptocurrencies, Bitcoin has become first and the most popular cryptocurrency (Kristoufek, 2018). It is classified as a digital currency used to purchase goods and services rather than exactly an alternative money or medium of exchange (Baur et al., 2018). It is considered as commodity money designed to International Journal of Managerial Finance Vol. 16 No. 3, 2020 pp. 357-371 © Emerald Publishing Limited 1743-9132 DOI 10.1108/IJMF-03-2019-0117 Received 28 March 2019 Revised 9 August 2019 Accepted 1 November 2019 The current issue and full text archive of this journal is available on Emerald Insight at: www.emeraldinsight.com/1743-9132.htm 357 Bitcoin and equity market information