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Volatility spillovers and correlation between cryptocurrencies and Asian equity market
Malhotra, Nidhi; Gupta, Saumya - In: International journal of economics and financial issues … 9 (2019) 6, pp. 208-215
Persistent link: https://www.econbiz.de/10012151119
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Co-movement of cryptocurrencies and African stock returns : a multiresolution analysis
Kumah, Seyram Pearl; Mensah, Jones Odei; Amanamah, … - In: Cogent business & management 9 (2022) 1, pp. 1-29
-movement between the asset markets at medium and lower frequencies implying that stock markets in Africa are highly exposed to … cryptocurrency market disruptions from the medium term and that international investors seeking to hedge their price risk in African … (lag) effects are time-varying and heterogeneous showing no particular cryptocurrency or stock market as leader or follower …
Persistent link: https://www.econbiz.de/10014439784
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On the linkages between Africa's emerging equity markets and globalmarkets : evidence from fractional integration and cointegration
Gil-Alaña, Luis A.; Carcel, Hector; Abakah, Emmanuel … - In: Review of development finance 8 (2018) 2, pp. 96-105
This paper uses fractional integration and cointegration for the period of January 2000-June 2018 to investigate the … stochastic properties of the bilateral linkages between stock markets in Africa and selected international markets to establish … if markets in Africa co-move with the rest of the world. Results from the univariate analysis show that there exists a …
Persistent link: https://www.econbiz.de/10011979979
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Risk spillovers between Bitcoin and ASEAN+6 Stock markets before and after COVID-19 outbreak : a comparative analysis with gold
Parichat Sinlapates; Tanit Sriwong; Surachai Chancharat - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-17
This paper applies the multivariate GARCH models to investigate the role of Bitcoin as a hedge and safe haven for ASEAN+6 stock markets compared to gold. We used daily data for the dates 2 January 2017–20 January 2023, covering the recent COVID-19 pandemic. The empirical findings provide...
Persistent link: https://www.econbiz.de/10014305903
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Inter-markets volatility spillover in U.S. bitcoin and financial markets
Qarni, Muhammad Owais; Gulzar, Saqib; Fatima, Syeda Tamkeen - In: Journal of business economics and management 20 (2019) 4, pp. 694-714
presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility …
Persistent link: https://www.econbiz.de/10012175787
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Spillovers between cryptocurrencies, gold and stock markets : implication for hedging strategies and portfolio diversification under the COVID-19 pandemic
Lamine, Ahlem; Jeribi, Ahmed; Fakhfakh, Tarek - In: Journal of economics, finance & administrative science 29 (2024) 57, pp. 21-41
Purpose This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers....
Persistent link: https://www.econbiz.de/10014506805
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Asymmetric connectedness between conventional and Islamic cryptocurrencies : evidence from good and bad volatility spillovers
Bouri, Elie; Asl, Mahdi Ghaemi; Darehshiri, Sahar; … - In: Financial innovation : FIN 10 (2024), pp. 1-26
nearly 61% of cryptocurrency market capitalization and covering both conventional (Bitcoin and Ethereum) and Islamic (Stellar … asymmetry in the volatility spillovers exists in the cryptocurrency market; and (iv) conventional cryptocurrencies dominate …
Persistent link: https://www.econbiz.de/10014548184
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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
reports negative risk results for the entire cryptocurrency portfolio during the pandemic, except for the Ethereum (ETH). …
Persistent link: https://www.econbiz.de/10014295230
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Nonlinear Dependence and Spillovers between Cryptocurrency and Global/Regional Equity Markets
Hanif, Waqas; Arreola Hernández, José; Troster, Victor; … - 2023
In this paper, we investigate the nonlinear dependence dynamics among eight cryptocurrencies (Monero, Bitcoin, Dash, Litecoin, Stellar, XRP, Ethereum, and Nem) by applying time-varying copulas. We also examine the upside and downside spillovers between cryptocurrencies and equity markets by a...
Persistent link: https://www.econbiz.de/10014351315
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The resilience of Shariah-compliant investments : probing the static and dynamic connectedness between gold-backed cryptocurrencies and GCC equity markets
Ali, Shoaib; Naveed, Muhammad; Hanif, Hasan; Gubareva, … - In: International review of financial analysis 91 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10014447051