Narrow search
Showing 1 - 10 of 128
Cover Image
Linearity extensions of the market model : a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods
Neslihanoglu, Serdar - In: Financial innovation : FIN 7 (2021), pp. 1-27
This research investigates the appropriateness of the linear specification of the market model for modeling and forecasting the cryptocurrency prices during the pre-COVID-19 and COVID-19 periods. Two extensions are offered to compare the performance of the linear specification of the market...
Persistent link: https://www.econbiz.de/10012518084
Cover Image
Investor sentiments and stock markets during the COVID-19 pandemic
Cevik, Emre; Kirci Altinkeski, Buket; Cevik, Emrah Ismail; … - In: Financial innovation : FIN 8 (2022), pp. 1-34
This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile regressions, a panel vector autoregression (PVAR) model,...
Persistent link: https://www.econbiz.de/10013272311
Cover Image
The interaction between stock prices and interest rates in Turkey : empirical evidence from ARDL bounds test cointegration
Tursoy, Turgut - In: Financial innovation : FIN 5 (2019) 7, pp. 1-12
This paper demonstrates a significant, long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1 – 2017 M4. Cointegration analysis is investigated using the autoregressive-distributed lag bounds (ARDL Bounds) test and...
Persistent link: https://www.econbiz.de/10011972648
Cover Image
Can ETFs afect U.S. fnancial stability? : A quantile cointegration analysis
Laborda, Juan; Laborda, Ricardo; Cruz, Javier de la - In: Financial innovation : FIN 10 (2024), pp. 1-24
This study evaluates whether exchange traded funds (ETFs) threaten fnancial market stability by testing two hypotheses relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile cointegration models using Standard & Poor's 500 Index...
Persistent link: https://www.econbiz.de/10014540299
Cover Image
Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets
Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23
sample consists of fve prospective safe-haven assets-gold, bitcoin, the euro, the Japanese yen, and the Swiss franc-and fve … 225. Our fndings are useful for inves‑ tors searching for the best safe-haven assets among gold, bitcoin, and currencies … diferently for gold and the yen; that is, the Japanese yen acts as the strongest safe haven across all stock indices. Bitcoin is …
Persistent link: https://www.econbiz.de/10014541628
Cover Image
Whether and when did bitcoin sentiment matter for investors? : Before and during the COVID-19 pandemic
Aysan, Ahmet Faruk; Muğaloğlu, Erhan; Polat, Ali Yavuz; … - In: Financial innovation : FIN 9 (2023) 1, pp. 1-24
Using a wavelet coherence approach, this study investigates the relationship between Bitcoin return and Bitcoin …
Persistent link: https://www.econbiz.de/10014526932
Cover Image
Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies
Aharon, David Y.; Umar, Zaghum; Xuan Vinh Vo - In: Financial innovation : FIN 7 (2021), pp. 1-25
, EURO, Japan, and the UK) and the leading cryptocurrency, the Bitcoin. Results of the static analysis show that the level …. Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve's level, slope …, and curvature, and from any main currency investigated. These findings hint that Bitcoin might provide hedging benefits …
Persistent link: https://www.econbiz.de/10012617325
Cover Image
Discovering interlinkages between major cryptocurrencies using high‑frequency data : new evidence from COVID‑19 pandemic
Yousaf, Imran; Ali, Shoaib - In: Financial innovation : FIN 6 (2020) 45, pp. 1-18
Through the application of the VAR-AGARCH model to intra-day data for three cryp-tocurrencies (Bitcoin, Ethereum, and … sample periods. We find that the return spillovers vary across the two periods for the Bitcoin-Ethereum, Bitcoin … for the Bitcoin-Ethereum and Bitcoin-Litecoin pairs. The constant conditional correlations between all pairs of …
Persistent link: https://www.econbiz.de/10012317582
Cover Image
When you need them, they are not there : hedge capacities of cryptocurrencies disappear in downtrend markets
Bossmann, Ahmed; Gubareva, Mariya; Agyei, Samuel Kwaku; … - In: Financial innovation : FIN 10 (2024), pp. 1-38
We provide empirical evidence supporting the economic reasoning behind the impossibility of diversifcation benefts and the hedge attributes of cryptocurrencies remaining in force during the downside trends observed in bearish fnancial markets. We employ a spillover connectedness model driven by...
Persistent link: https://www.econbiz.de/10014548107
Cover Image
Does a higher hashrate strengthen Bitcoin network security?
Kim, Daehan; Ryu, Doojin; Webb, Robert I. - In: Financial innovation : FIN 10 (2024), pp. 1-15
the security outcome of the Bitcoin blockchain. We use vector error correction modeling to analyze the endogenous … relationships between the hashrate, Bitcoin price, and transaction fee, revealing the need for an additional variable to achieve our … aim. Employing a measure summarizing the growth of demand factors in the Bitcoin ecosystem indicates that hashrate …
Persistent link: https://www.econbiz.de/10014548210