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Good and bad volatility spillovers in the cryptocurrency market : New Evidence from a TVP-VAR asymmetric connectedness approach
Asl, Mahdi Ghaemi; Bouri, Elie; Darehshiri, Sahar; … - 2021
This paper uncovers the dynamics of the asymmetric volatility spillovers across three majorcryptocurrencies (Bitcoin … 2018 to 5th June 2021, the main findings are summarized as follows:Firstly, negative (bad) volatility spillovers are more … pronounced than positive (good)spillovers, revealing the presence of asymmetric volatility effects in the cryptocurrency market …
Persistent link: https://www.econbiz.de/10013313936
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Intraday Return Predictability in the Cryptocurrency Markets : Momentum, Reversal, or Both
Wen, Zhuzhu; Bouri, Elie; Xu, Yahua; Zhao, Yang - 2022
This paper reports evidence of intraday return predictability, consisting of both intraday momentum and reversal, in the cryptocurrency market. Using high-frequency price data on Bitcoin from March 3, 2013, to May 31, 2020, it shows that the patterns of intraday return predictability change in...
Persistent link: https://www.econbiz.de/10013289927
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On the return-volatility relationship in the Bitcoin market around the price crash of 2013
Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - 2016
The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily … database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility … relation in the Bitcoin market. They test if there is a difference in the return-volatility relation before and after the price …
Persistent link: https://www.econbiz.de/10011539994
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Can Volume Predict Bitcoin Returns and Volatility? A Quantiles-Based Approach
Balcilar, Mehmet - 2017
the causal relation between trading volume and Bitcoin returns and volatility, over the whole of their respective … volatility of Bitcoin returns at any point of the conditional distribution …
Persistent link: https://www.econbiz.de/10012960531
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Cointegration and Nonlinear Causality Amongst Gold, Oil, and the Indian Stock Market : Evidence from Implied Volatility Indices
Bouri, Elie - 2017
resources affect the domestic inflation and stock market. Expectations on future volatility in these prices might lead to … changes in the expected (implied) volatility of the Indian stock market. Unlike prior studies, we use implied volatility … volatilities of gold and oil on the implied volatility of the Indian stock market. Interestingly, there is evidence of an inverse …
Persistent link: https://www.econbiz.de/10012960717
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On the Return-Volatility Relationship in the Bitcoin Market around the Price Crash of 2013
Bouri, Elie - 2017
We examine the relation between price returns and volatility changes in the Bitcoin market using a daily database … denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility … relation in the Bitcoin market. We test if there is a difference in the return-volatility relation before and after the price …
Persistent link: https://www.econbiz.de/10012967432
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On the return-volatility relationship in the Bitcoin market around the price crash of 2013
Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - 2017
The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily … database denominated in US dollar. The results for the entire period provide no evidence of an asymmetric return-volatility … relation in the Bitcoin market. The authors test if there is a difference in the return-volatility relation before and after …
Persistent link: https://www.econbiz.de/10011600035
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On the dynamic transmission of mean and volatility across the Arab stock markets
Bouri, Elie; Azzi, Georges - In: Journal of emerging market finance 13 (2014) 3, pp. 279-304
Persistent link: https://www.econbiz.de/10010492029
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Spillovers between Bitcoin and other assets during bear and bull markets
Bouri, Elie; Das, Mahamitra; Gupta, Rangan; Roubaud, David - In: Applied economics 50 (2018) 55, pp. 5935-5949
Persistent link: https://www.econbiz.de/10012062940
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Oil volatility and sovereign risk of BRICS
Bouri, Elie; Shahzad, Syed Jawad Hussain; Raza, Naveed; … - In: Energy economics 70 (2018), pp. 258-269
Persistent link: https://www.econbiz.de/10011942723