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Discovering interlinkages between major cryptocurrencies using high‑frequency data : new evidence from COVID‑19 pandemic

Yousaf, Imran; Ali, Shoaib - In: Financial innovation : FIN 6 (2020) 45, pp. 1-18

Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 …-Litecoin, and Ethereum-Litecoin pairs. However, the volatility transmissions are found to be different during the two sample periods …

Persistent link: https://www.econbiz.de/10012317582

The roles of gold, US dollar, and bitcoin as safe-haven assets in times of crisis

Van Le Thi Thuy; Tran Thi Kim Oanh; Nguyen Thi Hong Hai - In: Cogent economics & finance 12 (2024) 1, pp. 1-17

appropriate assets during market volatility. …

Persistent link: https://www.econbiz.de/10015386928

Time-frequency analysis of financial stress and global commodities prices : insights from wavelet-based approaches

Armah, Mohammed; Amewu, Godfred; Bossman, Ahmed - In: Cogent economics & finance 10 (2022) 1, pp. 1-25

We examine the time-frequency lead-lag relationships and the degree of integration between the US financial stress index and global commodity prices (i.e., oil, gold, silver, and cocoa) with data covering over 47 decades (January 1975 to December 2021). For this purpose, we resort to the bi- and...

Persistent link: https://www.econbiz.de/10013389437

Systemic Illiquidity Noise-based measure : a solution for systemic liquidity monitoring in frontier and emerging markets

Dziwok, Ewa; Kara's, Marta A. - In: Risks : open access journal 9 (2021) 7, pp. 1-29

liquidity risk characteristics. The analysis also illustrates the impact of the introduction of the euro on systemic illiquidity …

Persistent link: https://www.econbiz.de/10012598934

How J.P. Morgan picked the winners and losers in the Panic of 1907 : an exploration of the individual over the institution as lender of last resort

Moen, Jon R.; Rodgers, Mary Tone - In: Essays in economic & business history : the journal of … 40 (2022), pp. 156-187

institutions during the resolution of a financial crisis. First, we examine how Morgan coordinated emergency liquidity infusions … applicants for liquidity had participated in earlier bond underwriting syndicates with Morgan. The single denial of aid was to an … or liquidity infusions to Morgan-backed issuers than to issuers backed by other bankers. These findings provide support …

Persistent link: https://www.econbiz.de/10013431103

A theory of very short-time price change : security price drivers in times of high-frequency trading

Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …

Persistent link: https://www.econbiz.de/10013272630

Empirical estimation of intraday yield curves on the Italian interbank credit market e-MID

Demertzidis, Anastasios; Jeleskovic, Vahidin - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-23

This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include...

Persistent link: https://www.econbiz.de/10012534603

An impact assessment of the COVID-19 pandemic on Japanese and US hotel stocks

Kanamura, Takashi - In: Financial innovation : FIN 9 (2023) 1, pp. 1-51

This study proposes two new regime-switching volatility models to empirically analyze the impact of the COVID-19 … Japanese hotel stock prices and shows that the regime continues to switch to high volatility in prices due to COVID-19 until … stock prices, which can remove the market impacts on regime-switching volatility; this analysis demonstrates that COVID-19 …

Persistent link: https://www.econbiz.de/10014289130

Modeling sovereign credit default swaps volatility at different tenures : an application for Latin American countries

Gamboa-Estrada, Fredy; Romero, José Vicente - In: Borsa Istanbul Review 24 (2024) 4, pp. 772-786

(SCDS) in Latin America at different tenures, focusing on their volatility. Using a component generalized autoregressive … conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the … permanent component of SCDS volatility in all tenures was higher and more persistent during the Global Financial Crisis than …

Persistent link: https://www.econbiz.de/10014635386

Financial vulnerability and economic dynamics in Malaysia

Kuek, Tai-Hock; Puah, Chin-Hong; M. Affendy Arip - In: Journal of central banking theory and practice 9 (2020), pp. 55-73

This study attempts to develop a financial vulnerability indicator serving as a composite indicator for the state of financial vulnerability. The indicator was constructed from 10 variables of macroeconomic, financial and property market by extracting a common vulnerability component through the...

Persistent link: https://www.econbiz.de/10012306680