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An investigation of financial contagion between cryptocurrency and equity markets : evidence from developed and emerging markets
Niyitegeka, Olivier; Zhou, Sheunesu - In: Cogent economics & finance 11 (2023) 1, pp. 1-21
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 of financial contagion between cryptocurrency and stock markets in both … between cryptocurrency and equity markets. The high conditional correlation was mostly detected in periods of financial …
Persistent link: https://www.econbiz.de/10014500791
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How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? : evidence from non-parametric causality-in-quantiles techniques
Raza, Syed Ali; Shah, Nida; Guesmi, Khaled; Msolli, … - In: Finance research letters 47 (2022) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10013457434
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When economic Jitter, Bitcoin flutters : evidence form the impact of macroeconomic factors on Bitcoin returns
Thukral, Sonal; Arora, Ashima; Bhandari, Varun - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 3-25
Persistent link: https://www.econbiz.de/10012390973
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The impact of macroeconomic news on Bitcoin returns
Corbet, Shaen; Larkin, Charles; Lucey, Brian M.; … - In: The European journal of finance 26 (2020) 14, pp. 1396-1416
Persistent link: https://www.econbiz.de/10012264974
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Cryptocurrencies, Stocks, and Economic Policy Uncertainty : A FAVAR Analysis
Civelli, Andrea; Jackson, Laura E. - 2023
We study the interactions between cryptocurrencies, stock markets, and economic policy uncertainty (EPU) by means of a Factor-Augmented Vector Autoregressive (FAVAR) framework. We rely on two market factors to model the comovements of returns within cryptocurrencies and stock markets. We...
Persistent link: https://www.econbiz.de/10014254302
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Sequential learning of cryptocurrency volatility dynamics : evidence based on a stochastic volatility model with jumps in returns and volatility
Huang, Jing-Zhi; Huang, Zhijian; Xu, Li - In: The quarterly journal of finance 11 (2021) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012649885
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Is the cryptocurrency market a hedge against stock market risk? : a wavelet and GARCH approach
Jana, Susovon; Sahu, Tarak Nath - In: Economic notes 52 (2023) 3, pp. 1-25
Persistent link: https://www.econbiz.de/10014427518
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Are cryptocurrencies a backstop for the stock market in a COVID-19-led financial crisis? : evidence from the NARDL approach
Jeribi, Ahmed; Jena, Sangram Keshari; Lahiani, Amine - In: International Journal of Financial Studies : open … 9 (2021) 3, pp. 1-36
stock market and cryptocurrency returns both in the short and long run are changing during the COVID-19 crisis period, which …
Persistent link: https://www.econbiz.de/10012587922
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Time-frequency co-movement and risk connectedness among cryptocurrencies : new evidence from the higher-order moments before and during the COVID-19 pandemic
Cui, Jinxin; Maghyereh, Aktham I. - In: Financial innovation : FIN 8 (2022), pp. 1-56
Analyzing comovements and connectedness is critical for providing significant implications for crypto-portfolio risk management. However, most existing research focuses on the lower-order moment nexus (i.e. the return and volatility interactions). For the first time, this study investigates the...
Persistent link: https://www.econbiz.de/10013413114
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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
reports negative risk results for the entire cryptocurrency portfolio during the pandemic, except for the Ethereum (ETH). …
Persistent link: https://www.econbiz.de/10014295230