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Commonality in FX liquidity : high-frequency evidence

Sensoy, Ahmet; Uzun, Sevcan; Lucey, Brian M. - In: Finance research letters 39 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10012805184

Investigating the Dynamics Between Price Volatility, Price Discovery, and Criminality in Cryptocurrency Markets

Corbet, Shaen - 2019

This paper identifies several stylised facts relating to the volatility and price discovery process from eight … exhibit weekend-volatility effects while intra-day volatility is found to be influenced by international trading times …, periods of substantial volatility in the markets for oil, and GBP/USD and cybercrime events. Secondly, a thorough …

Persistent link: https://www.econbiz.de/10012870964

How does Climate Risk Spillover and Uncertainty Affect US Stock Markets?

Khalfaoui, Rabeh; Mefteh-Wali, Salma; viviani, jean-laurent - 2022

In this study, we attempt to revisit how dependent the US stock market returns are on climate change-related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index,...

Persistent link: https://www.econbiz.de/10013406460

Datestamping the Bitcoin and Ethereum Bubbles

Corbet, Shaen - 2017

We examine the existence and dates of pricing bubbles in Bitcoin and Ethereum, two popular cryptocurrencies using the Phillips et al. (2011) methodology. In contrast to previous papers, we examine the fundamental drivers of the price. Having derived ratios that are economically and...

Persistent link: https://www.econbiz.de/10012942271

Bubbles All the Way Down? Detecting and Date-Stamping Bubble Behaviour in DeFi and NFT Markets

Wang, Yizhi; Lucey, Brian M.; Vigne, Samuel - 2022

Amid surging market values and widespread regulatory discussion, NFT and DeFi markets are widely perceived as being simply speculative, bubble, assets. This paper detects the existence and dates of price bubbles in the NFT and DeFi market by applying SADF and GSADF tests. We document that NFT...

Persistent link: https://www.econbiz.de/10013294350

Trading volume and the predictability of return and volatility in the cryptocurrency market

Bouri, Elie; Lau, Chi Keung; Lucey, Brian M.; Roubaud, David - In: Finance research letters 29 (2019), pp. 340-346

Persistent link: https://www.econbiz.de/10012419202

Rationality in Precious Metals Forward Markets : Evidence of Behavioural Deviations in the Gold Markets

Aggarwal, Raj - 2014

We offer the first examination of whether the gold forward rate is an unbiased predictor of the future gold spot rate. We find strong evidence that it is not, particularly at longer maturities. Building on Aggarwal and Zong's (2008) approach to allow for investor risk aversion, we then examine...

Persistent link: https://www.econbiz.de/10013053946

Rationality in Precious Metals Forward Markets: Evidence of Behavioural Deviations in the Gold Markets

Aggarwal, Raj; Lucey, Brian M.; O'Connor, Fergal A. - Institute for International Integration Studies (IIIS), … - 2014

Persistent link: https://www.econbiz.de/10011097630

Can Uncertainties Predict the Long-term Volatility of Gold Markets? New Evidence From Cryptocurrency Uncertainties

Wei, Yu; Lucey, Brian M.; Vigne, Samuel A.; Wang, Yizhi - 2022

the long-term volatility of the gold markets. By utilising a mixed data sampling model, GARCH-MIDAS, we show that various … and price uncertainties contain useful forecasting information for long-term volatility of gold markets. In light of these …

Persistent link: https://www.econbiz.de/10013405704

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

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