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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

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

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

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

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

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

Lottery-like preferences and the MAX effect in the cryptocurrency market

Ozdamar, Melisa; Akdeniz, Levent; Sensoy, Ahmet - In: Financial innovation : FIN 7 (2021), pp. 1-27

We investigate the significance of extreme positive returns in the cross-sectional pricing of cryptocurrencies. Through portfolio-level analyses and weekly cross-sectional regressions on all cryptocurrencies in our sample period, we provide evidence for a positive and statistically significant...

Persistent link: https://www.econbiz.de/10012705414

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

Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies

Aharon, David Y.; Umar, Zaghum; Vo Xuan Vinh - 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

Speculative bubbles and herding in cryptocurrencies

Haykir, Ozkan; Yagli, Ibrahim - In: Financial innovation : FIN 8 (2022), pp. 1-33

This study investigates speculative bubbles in the cryptocurrency market and factors affecting bubbles during the COVID-19 pandemic. Our results indicate that each cryptocurrency covered in the study presented bubbles. Moreover, we found that explosive behavior in one currency leads to...

Persistent link: https://www.econbiz.de/10013368517