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The influence of Bitcoin on Portfolio Diversification and Design

Akhtaruzzaman, Md.; Sensoy, Ahmet; Corbet, Shaen - 2021

We employ a VARMA DCC-GARCH model to search for portfolio diversification with Bitcoin in global industry portfolios and bond index. We find lower dynamic conditional correlations between Bitcoin and industry portfolios & bond index, allowing an investment in Bitcoin to hedge the risk against...

Persistent link: https://www.econbiz.de/10013243882

Volatility spillovers and hedging strategies between impact investing and agricultural commodities

Banerjee, Ameet Kumar; Akhtaruzzaman, Md.; Sensoy, Ahmet; … - In: International review of financial analysis 94 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543920

The effectiveness of technical trading rules in cryptocurrency markets

Corbet, Shaen; Eraslan, Veysel; Lucey, Brian M.; … - In: Finance research letters 31 (2019), pp. 32-37

Persistent link: https://www.econbiz.de/10012421035

Retail vs institutional investor attention in the cryptocurrency market

Ozdamar, Melisa; Sensoy, Ahmet; Akdeniz, Levent - In: Journal of international financial markets, … 81 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013533380

Identifying diversifiers, hedges, and safe havens among Asia Pacific equity markets during COVID-19 : new results for ongoing portfolio allocation

Ali, Fahad; Sensoy, Ahmet; Goodell, John W. - In: International review of economics & finance : IREF 85 (2023), pp. 744-792

Persistent link: https://www.econbiz.de/10014428692

Investor attention and idiosyncratic risk in cryptocurrency markets

Yao, Shouyu; Kong, Xiaoran; Sensoy, Ahmet; Akyildirim, … - In: The European journal of finance 30 (2024) 16, pp. 1932-1950

Persistent link: https://www.econbiz.de/10015323326

Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications

Mensi, Walid; Hammoudeh, Shawkat; Al-Jarrah, Idries … - In: Energy economics 67 (2017), pp. 454-475

Persistent link: https://www.econbiz.de/10011897952

Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes

Mensi, Walid; Hammoudeh, Shawkat; Sensoy, Ahmet; Yoon, … - In: Applied economics 49 (2017) 25, pp. 2456-2479

Persistent link: https://www.econbiz.de/10011819434

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

High frequency multiscale relationships among major cryptocurrencies : portfolio management implications

Mensi, Walid; Ur Rehman, Mobeen; Muhammad Shafiullah; … - In: Financial innovation : FIN 7 (2021), pp. 1-21

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