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Nonlinear nexus between cryptocurrency returns and COVID–19 news sentiment

Banerjee, Ameet Kumar; Akhtaruzzaman, Md.; Dionísio, … - 2021

This paper examines how different categories of COVID–19 news sentiment differentially impact the behavior of cryptocurrency returns. A nonlinear technique of transfer entropy is applied to investigate the relationship between the top 30 cryptocurrencies by market capitalization and COVID–19...

Persistent link: https://www.econbiz.de/10013212657

The Relationship Between Implied Volatility and Cryptocurrency Returns

Akyildirim, Erdinc; Corbet, Shaen; Lucey, Brian M.; … - 2021

We analyze the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. Overall, our results indicate the existence of time-varying positive...

Persistent link: https://www.econbiz.de/10013243881

Sensitivity of US equity returns to economic policy uncertainty and investor sentiments

Ur Rehman, Mobeen; Sensoy, Ahmet; Eraslan, Veysel; … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012822120

Impact of portfolio flows and heterogeneous expectations on FX jumps: evidence from an emerging market

Sensoy, Ahmet; Serdengeçti, Süleyman - In: International review of financial analysis 68 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012300936

The relationship between implied volatility and cryptocurrency returns

Akyildirim, Erdinc; Corbet, Shaen; Lucey, Brian M.; … - In: Finance research letters 33 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012430938

U.S. equity and commodity futures markets : hedging or financialization?

Nguyen, Duc Khuong; Sensoy, Ahmet; Sousa, Ricardo M.; … - In: Energy economics 86 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012511797

High-frequency return and volatility spillovers among cryptocurrencies

Sensoy, Ahmet; Silva, Thiago Christiano; Corbet, Shaen; … - In: Applied economics 53 (2021) 37, pp. 4310-4328

Persistent link: https://www.econbiz.de/10012609755

Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets

Serdengeçti, Süleyman; Sensoy, Ahmet; Nguyen, Duc Khoung - In: Journal of international financial markets, … 73 (2021), pp. 1-23

Persistent link: https://www.econbiz.de/10012802721

Intraday volume-volatility nexus in the FX markets : evidence from an emerging market

Sensoy, Ahmet; Serdengeçti, Süleyman - In: International review of financial analysis 64 (2019), pp. 1-12

Persistent link: https://www.econbiz.de/10012208202

Can investors' informed trading predict cryptocurrency returns? : evidence from machine learning

Wang, Yaqi; Wang, Chunfeng; Sensoy, Ahmet; Yao, Shouyu; … - In: Research in international business and finance 62 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10014247209