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Information interdependence among energy, cryptocurrency and major commodity markets
Ji, Qiang; Bouri, Elie; Roubaud, David; Krištoufek, … - In: Energy economics 81 (2019), pp. 1042-1055
Persistent link: https://www.econbiz.de/10012173059
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Cryptocurrency connectedness : does controlling for the cross-correlations matter?
Wiesen, Thomas F.P.; Bharadwaj, Lakshya - In: Applied economics letters 30 (2023) 20, pp. 2873-2880
Persistent link: https://www.econbiz.de/10014413964
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Risk spillovers between Bitcoin and ASEAN+6 Stock markets before and after COVID-19 outbreak : a comparative analysis with gold
Parichat Sinlapates; Tanit Sriwong; Surachai Chancharat - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-17
This paper applies the multivariate GARCH models to investigate the role of Bitcoin as a hedge and safe haven for ASEAN+6 stock markets compared to gold. We used daily data for the dates 2 January 2017–20 January 2023, covering the recent COVID-19 pandemic. The empirical findings provide...
Persistent link: https://www.econbiz.de/10014305903
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Asymmetric volatility spillovers between Bitcoin, oil, and global stocks in economic uncertainty
Surachai Chancharat; Parichat Sinlapates - In: International journal of monetary economics and finance … 17 (2024) 2/3, pp. 238-246
Persistent link: https://www.econbiz.de/10015066145
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Spillovers between cryptocurrencies, gold and stock markets : implication for hedging strategies and portfolio diversification under the COVID-19 pandemic
Lamine, Ahlem; Jeribi, Ahmed; Fakhfakh, Tarek - In: Journal of economics, finance & administrative science 29 (2024) 57, pp. 21-41
Purpose This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers....
Persistent link: https://www.econbiz.de/10014506805
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Volatility spillovers among G7, E7 stock markets and cryptocurrencies
Aydoğan, Berna; Vardar, Gülin; Taçoğlu, Caner - In: Journal of economic and administrative sciences 40 (2024) 2, pp. 364-387
Persistent link: https://www.econbiz.de/10014632207
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Volatility interdependence between cryptocurrencies, equity, and bond markets
Harb, Etienne; Bassil, Charbel; Kassamany, Talie; Baz, … - In: Computational economics 63 (2024) 3, pp. 951-981
Persistent link: https://www.econbiz.de/10014546233
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Asymmetric connectedness between conventional and Islamic cryptocurrencies : evidence from good and bad volatility spillovers
Bouri, Elie; Asl, Mahdi Ghaemi; Darehshiri, Sahar; … - In: Financial innovation : FIN 10 (2024), pp. 1-26
nearly 61% of cryptocurrency market capitalization and covering both conventional (Bitcoin and Ethereum) and Islamic (Stellar … asymmetry in the volatility spillovers exists in the cryptocurrency market; and (iv) conventional cryptocurrencies dominate …
Persistent link: https://www.econbiz.de/10014548184
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Do cryptocurrencies provide better hedging? : Evidence from major equity markets during COVID-19 pandemic
Maitra, Debasish; Ur Rehman, Mobeen; Dash, Saumya Ranjan; … - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-27
Persistent link: https://www.econbiz.de/10013539022
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Bad bad contagion
Londono, Juan M. - In: Journal of banking & finance 108 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012224755