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Nakagawa, Kei; Sakemoto, Ryuta - 2021

Both cryptocurrencies and gold are scarce, expensive for extraction, and less affected by money supply. We focus on these similarities and investigate whether cryptocurrency network affects impact on expected return on gold. Our results show that the number of cryptocurrency wallet users is...

Persistent link: https://www.econbiz.de/10013227440

Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

Persistent link: https://www.econbiz.de/10011482859

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

Stock market volatility response to COVID-19 : evidence from Thailand

Suthasinee Suwannapak; Surachai Chancharat - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-9

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …

Persistent link: https://www.econbiz.de/10014284290

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-14

rates, money supply, inflation rates, movements in world crude oil prices, volatility of the US and UK stock markets and …This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using …

Persistent link: https://www.econbiz.de/10014501248

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10014501255

Liquidity connectedness in cryptocurrency market

Hasan, Mudassar; Naeem, Muhammad Abubakr; Arif, Muhammad; … - In: Financial innovation : FIN 8 (2022), pp. 1-25

We examine the dynamics of liquidity connectedness in the cryptocurrency market. We use the connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012) and Baruník and Křehlík (J Financ Econom 16(2):271-296, 2018) on a sample of six major cryptocurrencies, namely, Bitcoin...

Persistent link: https://www.econbiz.de/10012798833

Cryptocurrencies, technology stocks, Covid-19 and US policy responses: a fractional integration analysis

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022

This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC,...

Persistent link: https://www.econbiz.de/10013041344

Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses

Bianchetti, Marco - 2018

The growth of peer-to-peer exchanges and the blockchain technology has led to a proliferation of cryptocurrencies and to a massive increase in the number of investors who actually negotiate digital money. Cryptocurrencies trade at prices which is mainly driven by investor sentiment, becoming a...

Persistent link: https://www.econbiz.de/10012931458

High-Frequency Connectedness between Bitcoin and Other Top-Traded Crypto Assets during the COVID-19 Crisis

Katsiampa, Paraskevi; Yarovaya, Larisa; Zięba, Damian - 2021

In this paper, we analyse co-movements and correlations between Bitcoin and thirty-one of the most-tradable crypto assets using high-frequency data for the period from January 2019 to December 2020. We apply the Diagonal-BEKK model to data from the pre-COVID and COVID-19 periods, and identify...

Persistent link: https://www.econbiz.de/10013221652