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

Yousfi, Mohamed; Dhaoui, Abderrazak; Bouzgarrou, Houssam - In: Journal of risk and financial management : JRFM 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/10012587420

Bitcoin and portfolio diversification : a portfolio optimization approach

Bakry, Walid; Rashid, Audil; Al-Mohamad, Somar; Elkanj, … - In: Journal of risk and financial management : JRFM 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/10012622395

Portfolio diversification, hedge and safe-haven properties in cryptocurrency investments and financial economics : a systematic literature review

Almeida, José; Gonçalves, Tiago Cruz - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-25

bibliometric analysis. Our results indicate a fast-growing literature evidencing cryptocurrencies’ ability to hedge against stocks …, fiat currencies, geopolitical risks, and Economic Policy Uncertainty (EPU) risk; also, that cryptocurrencies present … market, CBOE Bitcoin futures, and crude oil to hedge against unexpected movements in the cryptocurrency market. …

Persistent link: https://www.econbiz.de/10014301580

Cryptocurrency returns before and after the introduction of Bitcoin futures

Deniz, Pinar; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 13 (2020) 6/116, pp. 1-21

This paper examines the behaviour of Bitcoin returns and those of several other cryptocurrencies in the pre and post … important variable for Bitcoin for all periods, whereas for the other cryptocurrencies there are other variables that seem more …. Our empirical findings suggest that the top five cryptocurrencies are substitutes before the launch of Bitcoin futures …

Persistent link: https://www.econbiz.de/10012305140

Asymmetric mean reversion in low liquid markets : evidence from BRVM

Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of risk and financial management : JRFM 12 (2019) 1/38, 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/10012022315

Testing the efficiency of globally listed private equity markets

Tegtmeier, Lars - In: Journal of risk and financial management : JRFM 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/10012622817

International information spillovers and asymmetric volatility in South Asian stock markets

Gajurel, Dinesh; Chawla, Akhila - In: Journal of risk and financial management : JRFM 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/10013471157

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 : JRFM 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/10012872753

Causality between arbitrage and liquidity in platinum futures

Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-17

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the deviation. A demand shock leads to greater liquidity,...

Persistent link: https://www.econbiz.de/10014284282

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 : JRFM 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...

Persistent link: https://www.econbiz.de/10013164975

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