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Conditional correlations in the returns on oil companies stock prices and their determinants
Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004
Persistent link: https://www.econbiz.de/10002127359
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Conditional correlations in the returns on oil companies stock prices and their determinants
Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of...
Persistent link: https://www.econbiz.de/10011603089
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The Volatility Generating Effects of Macroeconomic News on Cryptocurrency Returns
Corbet, Shaen - 2018
This paper examines the relationship between news coverage and Bitcoin returns. Previous studies have provided evidence to suggest that macroeconomic news affects stock returns, commodities and interest rates. We extend the approach developed by Birz and Lott [2011] to examine the hypothesis...
Persistent link: https://www.econbiz.de/10012924762
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The Pricing of Jump and Diffusive Risks in the Cross-Section of Cryptocurrency Returns
Leong, Minhao; Kwok, Simon - 2022
In this study, we investigate the pricing of risks in the cross-section of cryptocurrency returns. In doing so, we decompose total variations into systematic and idiosyncratic components, as well as differentiate jumps from diffusive variations. We show that a hedged portfolio sorted on...
Persistent link: https://www.econbiz.de/10013293621
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Cyber-attacks and cryptocurrencies
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
This paper provides some comprehensive evidence on the effects of cyber-attacks on the returns, realized volatility and …
Persistent link: https://www.econbiz.de/10012171767
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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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The structure of cryptocurrency returns
Shams, Amin - 2020
This paper documents a persistent structure in cryptocurrency returns and analyzes a broad set of characteristics that explain this structure. The results show that similarities in size, trading volume, age, consensus mechanism, and token industries drive the structure of cryptocurrency returns....
Persistent link: https://www.econbiz.de/10012216714
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How Common are Return Factors in Cryptocurrencies and Equities?
Feng, Guo; Sun, Yulong - 2021
Finance research contributes to finding factors to explain the cross-sectional expected equity and cryptocurrency returns. In this paper, we implement the statistical methods to evaluate the common factor structure of these two markets and aim to identify the possible common factors across two...
Persistent link: https://www.econbiz.de/10013230462
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Multivariate variance ratio statistics
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not...
Persistent link: https://www.econbiz.de/10010365211
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Overconfidence Bias, Trading Volume and Returns Volatility : Evidence from Pakistan
Sheikh, Muhammad Fayyaz - 2013
information and biased self-attributions. High (low) trading activity following market gains (losses) and excessive volatility are … between current trading activity and past returns after controlling for returns dispersion and returns volatility. However, we … do not find significant positive contribution of overconfidence related trading to conditional returns volatility …
Persistent link: https://www.econbiz.de/10013087494