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Volatility spillovers among cryptocurrencies

Smales, Lee A. - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-12

-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and … cryptocurrencies. We find a bi-directional relationship for returns and long-term (GARCH) spillovers between BTC and ETH, but only a …

Persistent link: https://www.econbiz.de/10013201177

Risk spillover during the COVID-19 global pandemic and portfolio management

Yousfi, Mohamed; Dhaoui, Abderrazak; Bouzgarrou, Houssam - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-29

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the...

Persistent link: https://www.econbiz.de/10012611779

Crypto exchanges and credit risk: Modeling and forecasting the probability of closure

Fantazzini, Dean; Calabrese, Raffaella - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-23

traded cryptocurrencies are the main significant covariates across different model specifications. Both in-sample and out …

Persistent link: https://www.econbiz.de/10013201199

Bitcoin and portfolio diversification: A portfolio optimization approach

Bakry, Walid; Rashid, Audil; Al-Mohamad, Somar; Elkanj, … - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-24

This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization … evaluated by comparing the portfolios both with and without Bitcoin under frameworks ranging from equal-weighted, risk …-parity, and semi-constrained to unconstrained. This study suggests that Bitcoin, due to its exotic nature, unwavering appeal, and …

Persistent link: https://www.econbiz.de/10013200966

International diversification versus domestic diversification: Mean-variance portfolio optimization and stochastic dominance approaches

Abid, Fathi; Leung, Pui Lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 45-66

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors' viewpoints. Our PO results imply that the domestic diversification...

Persistent link: https://www.econbiz.de/10011843243

Testing the efficiency of globally listed private equity markets

Tegtmeier, Lars - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-16

This study is the first to investigate the efficient market hypothesis in its weak form and the random walk behaviour of globally listed private equity (LPE) markets represented by nine global, regional, and style indices based on weekly data covering the period from January 2004 to December...

Persistent link: https://www.econbiz.de/10013200997

A comparative analysis of the nature of stock return volatility in BRICS and G7 markets

Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-27

Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...

Persistent link: https://www.econbiz.de/10013201388

Measures of volatility, crises, sentiment and the role of U.S. "fear" index (VIX) on herding in BRICS (2007-2021)

Zhang, Hang; Giouvris, Evangelos - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-42

We look into determinants (volatility, crises, sentiment and the U.S. 'fear' index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was no...

Persistent link: https://www.econbiz.de/10013201437

Asymmetric mean reversion in low liquid markets: Evidence from BRVM

Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-19

This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3...

Persistent link: https://www.econbiz.de/10012611160

International information spillovers and asymmetric volatility in South Asian stock markets

Gajurel, Dinesh; Chawla, Akhila - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-18

This is the first comprehensive study to investigate the dynamics of international information spillovers, regional linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation) member nation equity markets. We propose a multi-factor...

Persistent link: https://www.econbiz.de/10014332670

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