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4,843 results · page 28 of 202
Sumita J Shroff, Nidhi Agrawal, Udai Lal Paliwal, Miklesh Prasad Yadav
No abstract is available for this record.
Rui Zha, Lean Yu, Xi Xi, Yi Su
No abstract is available for this record.
Kamphol Panyagometh
During the COVID-19 pandemic and subsequent periods of US monetary policy normalization after quantitative easing during COVID-19, global financial markets have encountered elevated levels of volatility and risk. In response, investors have increasingly sought out unconventional financial assets, such as Bitcoin, to mitigate exposure and enhance portfolio diversification. This study utilizes a Dynamic Conditional Correlation (DCC) Multivariate GARCH model, specifically employing the GARCH (1,1) specification, to analyze the relationship between stock markets index of major countries and cryptocurrency, with a particular focus on Bitcoin. The results indicate statistically significant correlations between Bitcoin and stock market returns in several countries during the COVID-19 period. Volatility appears to be influenced by historical stock market performance during both the pandemic and the subsequent normalization of monetary policy. Furthermore, the DCC-GARCH models reveal low significant coefficients for ASEAN stock market indices before and during the COVID-19 pandemic, indicating that these markets may have displaced Bitcoin as a hedge asset. In contrast, stock market indices in America and Europe consistently show statistical significance across all periods, suggesting that Bitcoin’s role as a hedge in these regions is limited. In contrast, gold clearly demonstrated safe haven properties before the COVID-19 pandemic which a characteristic had not been observed for Bitcoin. However, gold has emerged as a safe haven for only ASEAN stock markets since the U.S. initial 0.25% interest rate hike.
Ozan Kaymak
2008 yılında Bitcoin’in ortaya çıkmasından sonra kripto paralar kısa zamanda önemli bir varlık sınıfı haline gelmiştir. Kripto paralar; uzlaşma prensibine dayalı, birimler arası doğrudan işlem yapma imkânı sunan, işlemlere ait kayıtlara tüm birimlerin erişebildiği, merkeziyetsiz bir yapı olan blockchain teknolojisi ile işletilirler. Bu çalışmanın amacı, Forbes tarafından 2024 yılı için, blockchain endüstrisinde faaliyet gösteren firmalara ait sermaye varlıkları yatırımlarında uzmanlaşan en iyi borsa yatırım fonlarının 2021 Ekim ile 2024 Haziran dönemindeki haftalık getirileri ile aynı dönemdeki Bitcoin ve Ethereum haftalık getirilerinin zaman serileri Vektör Oto Regresyon Analizi ile incelenmesidir. Çalışmada Varyans Ayrıştırması ve Etki-Tepki Testleri yapılarak serilerin birbirlerine karşı etki düzeyleri incelenmiştir. Ayrıca seriler arasındaki nedensellik ilişkileri Granger Nedensellik Testi yöntemiyle araştırılmıştır. Çalışmanın sonucunda; seçili blockchain yatırım fonlarından First Trust SkyBridge Crypto Industry and Digital Economy (CRPT) haftalık getirilerinin, Bitcoin ve Ethereum haftalık getirileri ile %5 anlamlılık seviyesinde tek yönlü, sadece Bitcoin haftalık getirileri ile %10 anlamlılık düzeyinde çift yönlü Granger Nedensellik ilişkisine sahip olduğu belirlenmiştir.
Sahar Loukil, Noshaba Zulfiqar, Dimıtrios Paparas, Bikramaditya Ghosh
Climate change impact on the Blue-Green economy has been of great concern. Further cryptocurrency mining is impacting the economy in an adverse fashion. Moreover, impact of gold mining, extraction on Blue-Green economy and even relationship with cryptocurrency is another interesting facet. Therefore, we delved into the interconnectedness among five indices, two of which focus on the green economy (ICLN-iShares and CNRG-SandP), whereas three are on the blue economy (BJLE- BNP Paribas ESG Blue Economy ETF and PIO-Invesco Global Water ETF) and OCEN (IQ Clean Oceans ETF) alongside the traditional assets Bitcoin and gold indices. We considered between October 26, 2021, to January 5, 2024 for the study. This study highlighted some cardinal findings. First, BJLE can be used as a hedge against OCEN and PIO (all are in Blue economy). Second, excessive water usage in Bitcoin mining is detrimental to Blue-Green economy. Third, positive policy shock force spillover effect to cool down. Fourth, spillover typically increases as both economic uncertainty (US Banks collapse in 2023) and geopolitical risk (Russia-Ukraine conflict) increase. Fifth, there has been an increased responsiveness of these markets to immediate events (near-term bias). Therefore, this study would assist the policymakers and investors, especially in the Blue-Green domain.
Nader Naifar
No abstract is available for this record.
Serkan Aras, Mehmet Ozan Özdemir, Cihan ÇILGIN
No abstract is available for this record.
Vikneswaran Manual, Hafinaz Hasniyanti Hassan
One of the cryptocurrencies that is becoming more and more well-known as a kind of digital money is Bitcoin. The worldwide modern society can accept Bitcoin as a digital asset. Bitcoin can be used to make purchases of both goods and services online. This paper tries to uncover the significant association relating the Malaysian stock market and Bitcoin, gold, crude oil, USD, and crude palm oil. This study also looks at the causal connections between each variable and Bitcoin, determining whether the cryptocurrency has an impact on the independent variable or vice versa. The data utilized is derived from historical sources, serving as secondary informationon investing.com between September 2014 and July 2023. The data was evaluated using regression and correlation analysis, unit root testing, cointegration analysis, and vector error correction modeling to ascertain the relationship and impact of the variables. Based on the results, there is a significant associationbetween the stock market and commodities including bitcoin, gold, crude oil, US dollars, and crude palm oil. However, a statistical problem with heteroskedasticity has been found in this model. As a result, the GLS model has been recommended as an alternative to OLS regression. According to VECM, it was discovered that none of the independent variables had either a long-run or short-run association with the dependent variable. The findings of this study should help investors make future judgments on their choice of investments and the formulation of investment strategies. Before choosing to invest in Bitcoin, a number of aspects should be taken into account since this form of currency is still being studied. When making assessments or decisions, investors must also take into account the country’s internal and external environments.
Shuangshuang Chang, Meng Qin, Chi‐Wei Su
ABSTRACT Investigating gold's safe‐haven status is crucial to stabilising energy and cryptocurrency markets. To capture the dynamic relationships between energy‐related uncertainty (ERU), gold prices (GP), and cryptocurrency policy uncertainty (CPOU), this study employs the TVP‐SV‐VAR methodology. Through quantitative analysis, we find ERU has favourable and unfavourable effects on GP. The favourable impact underscores gold's safe‐haven role against energy market uncertainty. At the same time, the negative impact contradicts this view and theoretical models, likely due to the U.S. dollar's value and gold's hedging performance against other uncertainties. CPOU, however, positively impacts GP, supporting gold's safe‐haven characteristics against uncertainty in the cryptocurrency market and aligning with theoretical predictions. Gold's safe‐haven status in the cryptocurrency market is comparably more consistent but slightly less significant. Additionally, this study validates the findings by substituting CPOU with cryptocurrency price uncertainty (CPRU), confirming their robustness. Given the high volatility in energy and cryptocurrency markets, this article offers valuable insights for authorities to maximise profits and ensure stable growth.
Angham Ben Brayek, Hanen Ben Ameur, Farea Alharbi
The study aims to critically assess the safe-haven properties of Bitcoin and a diverse set of commodities in mitigating stock market risks during periods of extreme financial turbulence. Specifically, this research seeks to evaluate the effectiveness of these assets as hedging tools or diversifiers in the portfolios of both OPEC and non-OPEC countries, focusing on their behavior during the COVID-19 pandemic. We employ a wavelet coherence approach to analyze the dynamic relationships between the variables. Portfolio optimization is conducted using CVaR to assess the effectiveness of these assets as safe havens, hedges, or diversification tools in mitigating financial risks during periods of heightened market volatility. The diversification benefits of commodities and Bitcoin in OPEC and non-OPEC stock portfolios decrease over time as their co-movement with stock markets increases. During the COVID-19 period, BTC did not act as a safe haven. However, gold served as a hedge for non-OPEC countries. Using CVaR, we found that BTC provides stronger diversification benefits than commodities, followed by gold. We examine the safe-haven role of Bitcoin and various commodities, specifically within the context of both OPEC and non-OPEC countries. Our study offers a more comprehensive analysis of how BTC and commodities function as portfolio assets during financial stress, providing valuable insights for investors and policymakers.
Johannes Schuderer
This paper examines the impact of Federal Reserve (Fed) monetary policy announcements on the cryptocurrency market, focusing on immediate market reactions. Using a sample of 57 monetary policy announcements from January 2018 to September 2024, the analysis distinguishes between expected and unexpected rate changes and isolates the unexpected component, constructing a measure of “surprise” rate changes with Federal funds futures data. The results indicate that unexpected policy changes exert a moderate negative effect on cryptocurrency returns, whereas expected changes have a small impact. The findings contribute to the literature by extending event-study methodologies to cryptocurrencies and, within the cryptocurrency literature, by focusing on the broad cryptocurrency market to offer a comprehensive perspective on market-level effects.
Diya Sharma, Renu Ghosh, Charu Shri, Divya Khatter
Purpose Cryptocurrency, an emerging asset class, is a virtual form of currency that uses cryptography for security and operates on decentralised networks based on blockchain technology. It offers both challenges and opportunities for investors, particularly in terms of diversification, risk management and potential returns. Considering this, the present study attempts to investigate the sentimental factors influencing cryptocurrency while unravelling the intricate interplay among these factors. Design/methodology/approach To achieve this, interpretive structure modelling (ISM) identifies the hierarchical model of critical sentimental factors, while Cross-Impact Matrix Multiplication Applied to Classification (MICMAC) explores their dependency and driving power. Analytic hierarchy process (AHP) is adopted to rank the drivers. Findings Findings reveal that the pandemic, war, religiosity and economic uncertainty are top-level factors dominantly shaping cryptocurrency trends. Simultaneously, Google Search Trends and Herding emerge as the most dependent factors, influenced by sentiments that emerged from other factors. Practical implications The study unpacks implications, acknowledges limitations and proposes avenues for future research. Originality/value By exploring the interactive interrelationships among identified sentimental factors through ISM-MICMAC analysis and ranking via the AHP, this paper will have a great influence while contributing towards this evolving field.
José Álvarez‐Ramírez, Gilberto Espinosa-Paredes, E.J. Vernon‐Carter
No abstract is available for this record.
Jiangcheng Li, Yingfeng Xu, Chen Tao, Guang-Yan Zhong
No abstract is available for this record.
Berna Aydoğan, Omer Cayirli, Gülin Vardar
No abstract is available for this record.
OlaOluwa S. Yaya, Derick Quintino, Cristiane Ogino, Olanrewaju I. Shittu · 6 authors
No abstract is available for this record.
Haochen You, Baojing Liu
In recent decades, quantitative trading has been widely applied in both individual and institutional contexts through algorithms and automated trading. Price prediction and strategy decision-making are two crucial components of quantitative trading. While these two aspects have garnered extensive attention, the exploration and improvement of how to more effectively integrate them have been ongoing pursuits. In this paper, we construct a composite anti-risk trading strategy model based on short-term volatility identification and long-term trend prediction. The perfect combination of short-term fluctuations and long-term trends is achieved through the construction of parameters, such as Rpv, related to long-term trends. Simultaneously, the introduction of risk assessment indicators enhances the model’s ability to withstand risks. Integrating various modules, we obtain the SLRD model, mapping historical data to trading strategies. Utilizing real data from financial markets, we apply this model to cases involving gold and Bitcoin. The results show significant improvements when compared to previous models.
Wei-Peng Chen, Chih‐Chiang Wu, Withz Aimable
No abstract is available for this record.
Xinyue Zhang
Gold and cryptocurrencies play an important role in portfolios, especially in risk management. Due to the special nature of these financial products, people usually add a small amount of gold or cryptocurrencies to the origin portfolio to balance return and risk. This article takes Bitcoin as the representative of cryptocurrencies to analyze the different impacts of Bitcoin and gold in the portfolio. This article employs copula functions to fit the Value-at-Risk, Conditional Value-at-Risk, mean return, and Sharpe ratio. Value-at-Risk and Conditional Value-at-Risk are used to measure the portfolio's risk. In addition, mean return and Sharpe ratio are used to measure the returns. Empirical results demonstrate that gold and Bitcoin can both serve as hedging assets; Bitcoin can enhance portfolio returns, while gold might lead to a decrease in portfolio returns. This result offers a reference on the asset allocation to investors. Adding an appropriate proportion of gold and Bitcoin can optimize the portfolio’s risk-return profile.
Monia Antar
Purpose This study delves into Bitcoin’s return dynamics to address its pronounced volatility, particularly in extreme market conditions. We analyze a broad range of explanatory variables, including traditional financial indicators, innovative cryptocurrency-specific metrics and market sentiment gauges. We uniquely introduce the Conference Board Leading Economic Indicator (LEI) to the cryptocurrency research landscape. Design/methodology/approach We employ quantile regression to examine Bitcoin’s daily and monthly returns. This approach captures timescale dependencies and evaluates the consistency of our findings across different market conditions. By conducting a thorough analysis of the entire return distribution, we aim to reveal how various factors influence Bitcoin’s behavior at different risk levels. The research incorporates a comprehensive set of explanatory variables to provide a holistic view of Bitcoin’s market dynamics. Additionally, by segmenting the study period, we assess the consistency of the results across diverse market regimes. Findings Our results reveal that factors driving Bitcoin returns vary significantly across market conditions. For instance, during downturns, an increase in transaction volume is linked to lower Bitcoin returns, potentially indicating panic selling. When the market stabilizes, a positive correlation emerges, suggesting healthier ecosystem activity. Active addresses emerge as a key predictor of returns, especially during bearish phases, and sentiment indicators such as Wikipedia views reveal shifting investor optimism, depending on market trends. Monthly return analysis suggests Bitcoin might act as a hedge against traditional markets due to its negative correlation with the S&P 500 during normal conditions. Practical implications The study’s findings have significant implications for investors and policymakers. Understanding how different factors influence Bitcoin returns in varying market conditions can guide investment strategies and regulatory approaches. Originality/value A novel contribution of this study is the identification of Bitcoin’s sensitivity to broader economic downturns as demonstrated by the negative correlation between LEI and returns. These insights not only deepen our understanding of Bitcoin market behaviour but also offer practical implications for investors, risk managers and policymakers navigating the evolving cryptocurrency landscape.
Dooyeon Cho, Kyung-Woo Lee
Abstract We construct a new daily measure of uncertainty about economic policy for Korea. The economic policy uncertainty (EPU) index is extracted from the reporting about economic policy in major Korean newspapers. We then investigate how daily EPU affects the Kimchi premium, which is the ratio of the Bitcoin price in Korea to that in the United States, adjusted for the exchange rate. Our findings indicate that an increase in Korea's EPU makes Bitcoin more expensive in Korea, while the U.S. dollar strengthens against the Korean won. The stronger appreciation of the U.S. dollar outweighs the increase in Bitcoin prices, thereby lowering the Kimchi premium. Similarly, an increase in U.S. EPU has comparable but weaker effects. The appreciation of the U.S. dollar almost entirely offsets the higher relative price of Bitcoin in Korea, resulting in no significant impact on the Kimchi premium from changes in U.S. EPU. In addition, the results suggest that the Kimchi premium tends to rise with increased trading volume in Korea but decreases as trading volume increases in the United States. We also document that while the Kimchi premium is positively associated with Bitcoin price volatility in Korea, it is not significantly related to that in the United States.
Wael Dammak, Halilibrahim Gökgöz, Ahmed Jeribi
No abstract is available for this record.
Zizhao Wang
Having emerged as a significant asset in the global financial landscape, particularly in the past decade, Bitcoin not only offers a decentralized alternative to financial traditions, but also potential for speculating and value storing. As Bitcoin matures, its impact on financial markets also grows rapidly, making it a critical subject for study. This paper focuses on the impact of seven selected key U.S. macroeconomic factors on Bitcoin prices by running a Vector Auto-Regression (VAR) model and performing Impulse Response Function (IRF) analyses. The indicators aim to stand for macroeconomic aspects including monetary policies, economic and market performance, inflation, commodity prices, and currency value. After obtaining quarterly time series from 2010 to 2024, a VAR model was utilized, attempting to capture dynamic relationships and lagged effects between the variables. The findings are expected to offer insights into Bitcoin’s dynamic interactions with macroeconomic conditions and prospects, especially for investors considering Bitcoin as a potential hedge in their portfolio and researcher interested in related topics.
Dhanraj Sharma, Ruchita Verma, Murad Baqis Hasan Al-Bukari, Mohammed A. K. Zaid · 5 authors
This study explores herding behavior in the cryptocurrency market during three major international crises: the COVID-19 pandemic, the Russia–Ukraine war, and the Palestine–Israel conflict. The study uses daily closing prices of five major cryptocurrencies (Bitcoin, Ethereum, Tether, BNB, and Solana) and the CRYPTO20 index data from December 31 2019 to May 20, 2024. The research employs the cross-sectional absolute deviation (CSAD) and cross-sectional standard deviation (CSSD) methods to identify herding behavior in the cryptocurrency market. The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is used for the robustness check. Stationarity of the data is verified using the Augmented Dickey-Fuller (ADF) test. The empirical findings reveal the anti-herding behavior in the cryptocurrency market during the three sub-periods. The study’s findings have important implications for investors, policymakers, and market regulators. Understanding the dynamics of herding behavior in the cryptocurrency market during global crises can help in developing strategies to mitigate the adverse effects of herding, such as inefficient asset pricing and increased market volatility.