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Can Cryptocurrencies Provide a Viable Hedging Mechanism for Benchmark Index Investors?

Kyriazis, Nikolaos; Papadamou, Stephanos; Tzeremes, … - 2022

This paper investigates the non-linear causal nexus at lower, medium, and upper quantiles that cryptocurrencies can generate as a hedging mechanism for international benchmark indices, as represented by the MSCI World index and its sectoral sub-indices. Significant causality-in-mean between each...

Persistent link: https://www.econbiz.de/10013289765

Herding behaviour and price convergence clubs in cryptocurrencies during bull and bear markets

Papadamou, Stephanos; Kyriazis, Nikolaos A.; Tzeremes, … - In: Journal of behavioral and experimental finance 30 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012814565

The effectiveness of technical trading rules in cryptocurrency markets

Corbet, Shaen; Eraslan, Veysel; Lucey, Brian M.; … - In: Finance research letters 31 (2019), pp. 32-37

Persistent link: https://www.econbiz.de/10012421035

Time Varying Risk Aversion and Its Connectedness : Evidence From Cryptocurrencies

Corbet, Shaen; Hou, Greg; Hu, Yang; Oxley, Les - 2022

-cyclical, process. However, research in this area has not considered the effects of the rapidly developing cryptocurrency markets. Given … cryptocurrency markets, as well as between cryptocurrencies and traditional financial assets. Bitcoin is identified as a leading … traditional financial markets is found to play a dominant role in the spillover processes upon the cryptocurrency cluster. The …

Persistent link: https://www.econbiz.de/10014236179

What drives DeFi prices? : investigating the effects of investor attention

Corbet, Shaen; Goodell, John W.; Günay, Samet - In: Finance research letters 48 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10013461741

The influence of central bank monetary policy announcements on cryptocurrency return volatility

Corbet, Shaen; McHugh, Grace; Meegan, Andrew - In: Investment management and financial innovations 14 (2017) 4, pp. 60-72

Persistent link: https://www.econbiz.de/10011876256

Any Port in a Storm : Cryptocurrency Safe-Havens during the COVID-19 Pandemic

Corbet, Shaen - 2020

financial market stress. Further, cryptocurrency returns are found to be significantly influenced by negative sentiment relating …

Persistent link: https://www.econbiz.de/10012833048

Are Cryptocurrencies a Safe Haven for Equity Markets? An International Perspective from the COVID-19 Pandemic

Conlon, Thomas - 2020

The COVID-19 pandemic provided the first widespread bear market conditions since the inception of cryptocurrencies. We test the widely mooted safe haven properties of Bitcoin, Ethereum and Tether from the perspective of international equity index investors. Bitcoin and Ethereum are not a safe...

Persistent link: https://www.econbiz.de/10012834074

The Contagion Effects of the COVID-19 Pandemic : Evidence from Gold and Cryptocurrencies

Corbet, Shaen - 2020

At the beginning of the 2020 global COVID-2019 pandemic, Chinese financial markets acted as the epicentre of both physical and financial contagion. Our results indicate that a number of characteristics expected during a "flight to safety" were present during the period analysed. The volatility...

Persistent link: https://www.econbiz.de/10012838306

Cryptocurrency Reaction to FOMC Announcements : Evidence of Heterogeneity Based on Blockchain Stack Position

Corbet, Shaen - 2019

We examine the response of a broad set of digital assets to US Federal Fund interest rate and quantitative easing announcements, specifically examining associated volatility spillover and feedback effects. We classify each digital asset into one of three categories: Currencies; Protocols; and...

Persistent link: https://www.econbiz.de/10012900613

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