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Persistent link: https://www.econbiz.de/10002127359
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
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
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
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
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
-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among … running in the other direction. Our results suggest that USDT does not currently play an important role in volatility …
Persistent link: https://www.econbiz.de/10012792439
By computing a volatility index (CVX) from cryptocurrency option prices, we analyze the market's expectation of future … volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable … volatility benchmarks for traditional asset classes, such as VIX (equity) or GVX (gold), confirms that cryptocurrency volatility …
Persistent link: https://www.econbiz.de/10012829636
In this study, we investigate the dynamic volatility connectedness of FinTech, innovative technology communication, and … after the COVID-19 period to understand the volatility fluctuations by employing the dynamic connectedness measures based on … TVP-VAR methodology. We find that volatility connectedness is strong among the FinTech, and cryptocurrency indices and it …
Persistent link: https://www.econbiz.de/10014504879
extent of the volatility contagion from the Bitcoin market to traditional markets, focusing on gold and six major stock … Bitcoin and those markets. Our results indicate long-term volatility contagion between Bitcoin and gold and short … suggest a risk of uncontrollable threats from Bitcoin volatility and highlight the need for measures to prevent infection …
Persistent link: https://www.econbiz.de/10014540621