The present study conducts a dynamic conditional cross-correlation and time-frequency correlation analyses between cryptocurrency and equity markets in both advanced and emerging economies. The purpose of the study is twofold. First, the study investigates the presence of the pure (narrow) form...

The study investigates the safe haven properties and sustainability of the top five cryptocurrencies (Bitcoin, Ethereum, Dash, Monero, and Ripple) and gold for BRICS stock markets during the COVID-19 crisis period from 31 January 2020 to 17 September 2020 in comparison to the precrisis period...

We evidence that cryptocurrencies possess a significantly higher probability of crash risk than equity indices, albeit such cryptocurrency market crashes are typically of shorter duration, while possessing an increased probability of acting a source of instability through which can pass through...

Applying a GARCH-S analysis to a daily dataset of eight cryptocurrencies, along with seven equity market indices for advanced countries, and seven equity market indices for emerging economies, for June 2018–June 2021, we find that cryptocurrencies have higher probability of crash risk than...

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...

IT progress and its application to the financial industry have inspired central banks and academics to analyse the merits of central bank digital currencies (CBDC) accessible to the broad public. This paper first reviews the advantages and risks of such CBDC. It then discusses two prominent...