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Stylized facts, volatility dynamics and risk measures of cryptocurrencies

Bruzgė, Rasa; Černevičienė, Jurgita; … - In: Journal of business economics and management 24 (2023) 3, pp. 527-550

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of cryptocurrencies' returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among analysed cryptocurrencies. This paper provides...

Persistent link: https://www.econbiz.de/10014420375

Herding and Anchoring in Cryptocurrency Markets : Investor Reaction to Fear and Uncertainty

Gurdgiev, Constantin - 2020

Cryptocurrencies have emerged as an innovative alternative investment asset class, traded in data-rich markets by globally distributed investors. Although significant attention has been devoted to their pricing properties, to-date, academic literature on behavioral drivers remains less...

Persistent link: https://www.econbiz.de/10012844436

Contagion of Uncertainty : Transmission of Risk from the Cryptocurrency Market to the Foreign Exchange Market

Grobys, Klaus - 2019

Earlier research documented that cryptocurrencies, including Bitcoin, have experienced dramatic fluctuations in both market capitalization and market share in recent years. Unsurprisingly, Bitcoin returns exhibit higher volatility than traditional G-10 currencies. Our paper extends earlier...

Persistent link: https://www.econbiz.de/10012868127

The effects of uncertainty on market liquidity : evidence from hurricane Sandy

Rehse, Dominik; Riordan, Ryan; Rottke, Nico; Zietz, Joachim - 2018

We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …

Persistent link: https://www.econbiz.de/10011844658

Estimation of risk neutral measure for Polish stock market

Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...

Persistent link: https://www.econbiz.de/10010468362

Riskiness Measures and Expected Returns

Bali, Turan G. - 2012

-to-market, momentum, short-term reversal, and liquidity of individual stocks. Controlling for the risk-neutral measure of skewness and the …

Persistent link: https://www.econbiz.de/10013114947

Measuring Risk Information

Smith, Kevin; So, Eric C. - 2022

We develop a measure of how information events impact investors' expectations of risk. The measure is broadly applicable and simple to implement. We derive it from an option-pricing model, where investors anticipate an announcement that simultaneously conveys information on the announcer's...

Persistent link: https://www.econbiz.de/10014236639

Accounting-Based Risk Measurement - Evidence for the German Market

Mehring, Oliver - 2022

I implement the accounting-based risk measurement approach in equity valuation proposed by Nekrasov and Shroff (2009 … this risk measurement approach produce a signiﬁcantly smaller valuation inaccuracy relative to the market-based approach …

Persistent link: https://www.econbiz.de/10013301438

Amplification of Uncertainty in Illiquid Markets

Albagli, Elias - 2011

This paper argues that the capacity of financial markets to aggregate dispersed information about economic conditions is diminished in times of distress, resulting in countercyclical uncertainty. Building on a rational expectations equilibrium dynamic environment, I model informed traders as...

Persistent link: https://www.econbiz.de/10013128328

The Effect of Information Quality on Liquidity Risk

Ng, Jeffrey - 2013

I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is … the sensitivity of stock returns to unexpected changes in market liquidity; recent asset pricing literature has emphasized … the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and …

Persistent link: https://www.econbiz.de/10013093674

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