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Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market

Xu Zhang, Zhijing Ding, Ning Cai
2021 Complexity  
We adopt wavelet packet decomposition, nonlinear Granger causality test, risk spillover network, and STVAR model; retain the mature research of multiscale systemic risk based on time and frequency; and  ...  However, due to the existence of the cryptocurrency bubble, investors face more difficulties in risk portfolios.  ...  to study the multiscale systemic risk under the volatility of the cryptocurrency market. e existing literature on the measurement of systemic risk and its risk contagion is insufficient.  ... 
doi:10.1155/2021/5581843 fatcat:7mokb4psjzaddpgrvvt4a7jt6q

High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

Walid Mensi, Mobeen Ur Rehman, Muhammad Shafiullah, Khamis Hamed Al-Yahyaee, Ahmet Sensoy
2021 Financial Innovation  
The nonlinear Granger causality tests reveal dual causation between most of the cryptocurrency pairs. We advance evidence to improve portfolio risk assessment, and hedging strategies.  ...  AbstractThis paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin.  ...  Acknowledgements Ahmet Sensoy gratefully acknowledges support from the Turkish Academy of Sciences -Outstanding Young Scientists Award Program (TUBA-GEBIP).  ... 
doi:10.1186/s40854-021-00290-w pmid:35024291 pmcid:PMC8436025 fatcat:cytkbe5fjbcrbgahhwp76nnok4

Regime specific spillover across cryptocurrencies and the role of COVID-19

Syed Jawad Hussain Shahzad, Elie Bouri, Sang Hoon Kang, Tareq Saeed
2021 Financial Innovation  
AbstractThe 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  ...  The results indicate various patterns of spillover in high and low volatility regimes, especially during the COVID-19 outbreak.  ...  The third author acknowledges the support of the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2020S1A5B8103268). Shahzad et al.  ... 
doi:10.1186/s40854-020-00210-4 pmid:35024270 pmcid:PMC7786164 fatcat:7rohm22lp5eb5bm7jwt7rwdzy4

Liquidity connectedness in cryptocurrency market

Mudassar Hasan, Muhammad Abubakr Naeem, Muhammad Arif, Syed Jawad Hussain Shahzad, Xuan Vinh Vo
2022 Financial Innovation  
The time-varying analysis indicates that liquidity connectedness in the cryptocurrency market increases over time, pointing to the possible effect of rising demand and higher acceptability for this unique  ...  AbstractWe examine the dynamics of liquidity connectedness in the cryptocurrency market.  ...  This observation of the contagion effect in the cryptocurrency market has also been reported in the volatility connectedness in cryptocurrency markets (Yi et al. 2018) .  ... 
doi:10.1186/s40854-021-00308-3 pmid:35070642 pmcid:PMC8753850 fatcat:welaszzlwjfgrlo5nljfbsccwi

Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis

Onur Özdemir
2022 Financial Innovation  
This result means that any kind of shock in one market leads investors to act in the same direction in the other market and thus indirectly causes volatility spillovers in those markets.  ...  The results also imply that the volatility spillover across cryptocurrency markets was more influential in the second lockdown that started at the beginning of November 2020.  ...  Anoop Kumar for his kindly support for the wavelet analysis.  ... 
doi:10.1186/s40854-021-00319-0 pmid:35132369 pmcid:PMC8810215 fatcat:ftowd5rhqjbf7oxc6kix4k4dve

Information Flow between Global Equities and Cryptocurrencies: A VMD-Based Entropy Evaluating Shocks from COVID-19 Pandemic

Emmanuel Asafo-Adjei, Peterson Owusu Junior, Anokye M. Adam, Paulo Jorge Silveira Ferreira
2021 Complexity  
The impetus of this study is to examine the degree of asymmetry and nonlinear directional causality between global equities and cryptocurrencies in the frequency domain.  ...  Accordingly, it is expected that information transmission between equities and digital assets has been altered due to the hostile impact of the pandemic outbreak on financial markets.  ...  As a result, we advocate that cryptocurrencies are not detached from the financial system but as an effective asset for portfolio analysis with equities [88, 96] and clearly act as complementary assets  ... 
doi:10.1155/2021/4753753 fatcat:6ylwxnhkrvd4lprsuabowahrpq

A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets

Nikolaos A. Kyriazis
2021 Journal of Risk and Financial Management  
Overall, it is found that the inclusion of Bitcoin in portfolios with conventional assets could significantly improve the risk–return trade-off of investors' decisions.  ...  In-depth analysis is provided of the speculative character of digital currencies and the possibility of improvement of the risk–return trade-off in investors' portfolios.  ...  Overall, it is argued that herding exists in cryptocurrency markets and this phenomenon constitutes a determinant of the evolution of market values.  ... 
doi:10.3390/jrfm14070293 fatcat:zgfkjue2cbc5xhnafufrudfl7i

Multiscale Tail Risk Connectedness of Global Stock Markets: A LASSO-Based Network Topology Approach

Yuting Du, Xu Zhang, Zhijing Ding, Xian Yang
2022 Complexity  
Due to the advent of deglobalization and regional integration, this article aims to adopt LASSO-based network connectedness to estimate the multiscale tail risk spillover effects of global stock markets  ...  In static analysis, the risk is centered mostly on the developed European and North American markets at a low frequency (long term), and regionalization is imposed on the moderate frequency (midterm).  ...  BK20190767), China Postdoctoral Science Foundation Funded Project (Grant nos. 2021T140335 and 2021M691635), and the Key Program of Jiangsu Maritime Institute (Grant no. 2017SZZD-01).  ... 
doi:10.1155/2022/7635144 doaj:4a6f7857765e43f9ac074a343e0339d4 fatcat:bwxozxqkerbedfnkatdft7lmhe

Cryptocurrencies, Diversification and the COVID-19 Pandemic

David E. Allen
2022 Journal of Risk and Financial Management  
This paper features an analysis of cryptocurrencies and the impact of the COVID-19 pandemic on their effectiveness as a portfolio diversification tool and explores the correlations between the continuously  ...  the returns on cryptocurrencies and those on the S&P500 Index.  ...  Acknowledgments: The author is grateful to the three anonymous reviewers for their helpful comments. Conflicts of Interest: The author is not aware of any conflict of interest.  ... 
doi:10.3390/jrfm15030103 fatcat:tjnzpzou6ffplfxyqxtf4xqh34

Research on the Time-Frequency Spillover Effect of High-Frequency Stock Price and Economic Policy Uncertainty

Shuzhen Zhu, Zhen He, Suxue Wang, Stefan Cristian Gherghina
2021 Discrete Dynamics in Nature and Society  
In particular, the EPU and the risk spillover of the Hong Kong stock market are stronger than those of the Shanghai stock market, and the dynamic frequency-domain net risk spillover between them has frequency  ...  Static and dynamic spillover effects play a dominant role in the analysis of medium- and long-term spillover effects.  ...  Acknowledgments e research was supported by the Key Project of the Basic Scientific Research Business Fee of the Central University in 2020, the project name is "Public opinion, investor sentiment, and  ... 
doi:10.1155/2021/5095467 fatcat:qjjouvg4kbhidjld6tii3e6u5e

The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies

Mukhriz Izraf Azman Aziz, Norzalina Ahmad, Jin Zichu, Safwan Mohd Nor
2022 Mathematics  
The Singapore stock market primarily acts the as top transmitter in returns and volatilities, whereas Vietnam has become the top receiver of shocks in returns.  ...  Using a frequency domain methodology, we find evidence that return spillovers mostly occur in the short-term, while volatility connectedness is more pronounced in the long-term.  ...  Their findings suggested that Google-based fear of COVID-19's contagious effects would result in heightened aversion to risk in the stock market.  ... 
doi:10.3390/math10091417 fatcat:q7rxix2ljrcwlh22iqhb5x2yd4

Interest Rate and Exchange Rate Volatility Spillovers: Multiscale Perspective of Monetary Policy Transmission in Ghana

Nana Kwame Akosah, Paul Alagidede, Eric Schaling
2020 Journal of Central Banking Theory and Practice  
Therefore, we explore in-sample and out-of-sample macro-volatility spillovers to determine the effectiveness of monetary policy and also ascertain the relevance of the exchange rate in Ghana's interest  ...  rate setting at both time and multiscale domains.  ...  the lately acclaimed measures of systemic risks, such as expected shortfall and CoVar.  ... 
doi:10.2478/jcbtp-2020-0008 fatcat:t7fiqp523nhp7npzyo4py677ha

Information Flow from COVID-19 Pandemic to Islamic and Conventional Equities: An ICEEMDAN-Induced Transfer Entropy Analysis

Ahmed Bossman, Paulo Jorge Silveira Ferreira
2021 Complexity  
With the steady growth in the data set on the COVID-19 pandemic, empirical works that employ novel and yet appropriate statistical techniques to corroborate previous findings of the pandemic and its consequences  ...  The risks on equities from Japan or Bahrain could be diversified by equities from Jordan in the short-term, while in the intermediate-term stocks from Japan could diversify with the UAE and USA equities  ...  Spillover and asset allocation [60] [61] [62] , commodities markets [63] [64] [65] , environmental, social, and governance (ESG) indices [60, 66] , currencies, cryptocurrencies, and fiat currencies  ... 
doi:10.1155/2021/4917051 fatcat:s5mfseuvqbfk3bcajuw2u33vrq

What drives bitcoin? An approach from continuous local transfer entropy and deep learning classification models [article]

Andrés García-Medina, Toan Luu Duc Huynh3
2021 arXiv   pre-print
In other words, our results indicate that in times of high volatility, Bitcoin seems to autoregulate and does not need additional drivers to improve the accuracy of the price direction.  ...  Bitcoin has attracted attention from different market participants due to unpredictable price patterns. Sometimes, the price has exhibited big jumps.  ...  These topics range from systemic risk, the spillover effect, autoscaling properties, collective patterns, price formation, and forecasting in general.  ... 
arXiv:2109.01214v1 fatcat:x4owkm3et5aarmqfg2bazkx2vu

COVID-19 as Information Transmitter to Global Equity Markets: Evidence from CEEMDAN-Based Transfer Entropy Approach

Peterson Owusu Junior, Siaw Frimpong, Anokye M. Adam, Samuel K. Agyei, Emmanuel N. Gyamfi, Daniel Agyapong, George Tweneboah, Yuxing Li
2021 Mathematical Problems in Engineering  
Furthermore, our results suggest detailed levels of risk (lower vis-à-vis higher) in the situation where they have been stripped of the noise in the market.  ...  The current length of the pandemic data offers the opportunity to examine its role in the asymmetric behaviour patterns of investors according to time horizons and the diversification potentials available  ...  From the foregoing discourse, we sum this up and refer to it as the competitive market hypothesis (CMH), which implies that, in part, the intensity of information flows and spillover between markets of  ... 
doi:10.1155/2021/8258778 fatcat:gprtjviedrha5obcbvwdqoqtaa
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