Showing 1 - 10 of 16
The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous...
Persistent link: https://www.econbiz.de/10012418495
This study explores the dynamic effects of different oil shocks on real exchange rates in net oil importers and exporters. Specifically, the connectedness measures are combined with the structural vector autoregressive model. The findings show that oil supply shocks have a larger depreciating...
Persistent link: https://www.econbiz.de/10012256210
The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance...
Persistent link: https://www.econbiz.de/10012495021
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
As the crypto-asset ecosystem matures, the use of high-frequency data has become increasingly common in decentralized finance literature. Using bibliometric analysis, we characterize the existing cryptocurrency literature that employs high-frequency data. We highlighted the most influential...
Persistent link: https://www.econbiz.de/10015372543
Persistent link: https://www.econbiz.de/10014524991
This paper investigates herding behavior and the connection between herding behavior and investor sentiment. We apply a Cross-Sectional Absolute Deviation (CSAD) approach and the quantile regression method to capture herding behavior in the KOSPI and KOSDAQ stock markets. The analysis results...
Persistent link: https://www.econbiz.de/10012239465
In this study, the dependence between Bitcoin (BTC) and economic policy uncertainty (EPU) of USA and China is estimated by applying the latest methodology of quantile cross-spectral dependence. Daily data comprising a total of 1947 observations and covering the period of 1 October 2013 to 31...
Persistent link: https://www.econbiz.de/10013368334
This study quantifies the shock transmission mechanism between the trade policy uncertainty (TPU) index and Sharia-compliant stock sectoral conditional volatility in the Gulf Cooperation Council (GCC) countries. We employ a comprehensive analysis that includes the time-domain extended joint and...
Persistent link: https://www.econbiz.de/10015152585
This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min-data. Empirical RWCC results indicate...
Persistent link: https://www.econbiz.de/10012705417