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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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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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A wavelet perspective of crisis contagion between advanced economies and the BRIC markets
Gurdgiev, Constantin; O'Riordan, Conor - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-29
fragmented literature that document time-varying and imperfect BRIC markets’ integration with mature economies. Overall, we show …
Persistent link: https://www.econbiz.de/10012794261
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How integrated are regional green equity markets? : evidence from a cross-quantilogram approach
Pham, Linh - In: Journal of risk and financial management : JRFM 14 (2021) 1/39, pp. 1-58
Rising concerns over climate change have increased investors’ and policymakers’ interests in environmentally friendly investments, which have led to the rapid expansion of the green equity market recently. Previous studies have focused on analyzing the green equity market at the aggregate...
Persistent link: https://www.econbiz.de/10012417767
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Spillover effects of US QE and QE tapering on African and Middle Eastern stock indices
Papadamou, Stephanos; Kyriazis, Nikolaos A.; Tzeremes, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/57, pp. 1-20
In this paper, we study spillover effects on the stock markets of six African and nine Middle Eastern emerging economies before, during, and after the implementation of unconventional monetary policies by the United States Federal Reserve (US Fed). Weekly data covering the pre-quantitative...
Persistent link: https://www.econbiz.de/10012022217
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A study of the machine learning approach and the MGARCH-BEKK model in volatility transmission
Joshi, Prashant; Wang, Jinghua; Busler, Michael - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-9
This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI … negative shocks to returns impact the S&P500 and the cryptocurrency market more than the positive shocks on both markets. This … study also indicates evidence of unidirectional cross-market asymmetric volatility transmission from the cryptocurrency …
Persistent link: https://www.econbiz.de/10013163552
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Volatility spillovers among cryptocurrencies
Smales, Lee A. - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-12
The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC … transmission across cryptocurrency markets. We also demonstrate applications of our results to hedging and optimal portfolio …
Persistent link: https://www.econbiz.de/10012792439
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Spillover risks on cryptocurrency markets : a look from VAR-SVAR granger causality and Student’s-t Copulas
Toan Luu Duc Huynh - In: Journal of risk and financial management : JRFM 12 (2019) 2/52, pp. 1-19
evidence regarding spillover risks among cryptocurrency markets. By using VAR (Vector Autoregressive Model)-SVAR (Structural …
Persistent link: https://www.econbiz.de/10012022237
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A survey on empirical findings about spillovers in cryptocurrency markets
Kyriazis, Nikolaos A. - In: Journal of risk and financial management : JRFM 12 (2019) 4/170, pp. 1-17
This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical results of relevant academic literature. Evidence reveals that Bitcoin is the most influential among digital coins mainly as a transmitter toward digital currencies but also as...
Persistent link: https://www.econbiz.de/10012171411
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Investigating the co-volatility spillover effects between cryptocurrencies and currencies at different natures of risk events
Hsu, Shu-Han - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15
This paper examines and confirms the varying volatility of the relationship between cryptocurrency and currency markets … dataset, the results support our conjecture (and earlier studies) indicating that the capabilities of cryptocurrency are time …
Persistent link: https://www.econbiz.de/10013395912