In this paper, we explore the volatility spillovers across different Bitcoin markets. We decompose the realized volatility into common and idiosyncratic volatilities, as well as the good and bad volatilities. Then the asymmetry in volatility spillovers between Bitcoin markets is measured by the DY (Diebold and Yilmaz) index. In addition, we construct statistics to test the asymmetry in volatility spillovers between different Bitcoin markets. The results are achieved as follows. The spillovers of systematic and idiosyncratic volatilities dominate the connectedness among different Bitcoin markets. In addition, the idiosyncratic volatility spillovers are more easily influenced by policies. Good volatility spillovers dominate the Bitcoin markets and change over time. The further results suggest that there is significant asymmetry between systematic and idiosyncratic volatility spillovers in the Bitcoin markets, while the asymmetries between good and bad volatility spillovers are heterogeneous in different markets. The findings in this paper can provide some suggestions for regulators controlling market stability and investors generating investment strategies.

在本文中，我们探索了不同比特币市场的波动性溢出效应。我们将已实现的波动分解为普通波动和特有波动，以及好波动和坏波动。然后，通过DY（Diebold和Yilmaz）指数来衡量比特币市场之间波动溢出的不对称性。此外，我们构建统计数据以测试不同比特币市场之间的波动溢出的不对称性。结果如下。系统性和特质波动性的溢出支配着不同比特币市场之间的联系。此外，特殊的波动性溢出效应更容易受到政策的影响。良好的波动性溢出控制了比特币市场并随时间变化。进一步的结果表明，在比特币市场中，系统性波动和特质波动性溢出之间存在显着的不对称性，而在不同市场中，好的和不良性波动性溢出之间的不对称性则是异质的。本文的发现可以为监管市场稳定的监管者和投资者制定投资策略提供一些建议。