پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 161 |
| تعداد شمارهها | 6,532 |
| تعداد مقالات | 70,501 |
| تعداد مشاهده مقاله | 124,099,114 |
| تعداد دریافت فایل اصل مقاله | 97,206,683 |
Cryptocurrencies’ Time to Shine in the World | ||
| Iranian Economic Review | ||
| دوره 27، شماره 4، اسفند 2023، صفحه 1154-1198 اصل مقاله (3.96 M) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22059/ier.2023.324788.1007172 | ||
| نویسندگان | ||
| Sana Braïek* 1؛ Ahmed Jeribi2 | ||
| 1Department of Economics and Quantitative Methods, University of Sousse, Laboratory Research for Economy, Management and Quantitative Finance, Sousse, Tunisia | ||
| 2Department of Finance, Faculty of Economics and Management of Mahdia, Hiboun, Tunisia | ||
| چکیده | ||
| Using the time-varying copula, we investigate the dynamic dependence between developed and BRICS stock market indices, digital assets, oil, and gold prices for January 2, 2016 to March 31, 2020. Our findings reveal that cryptocurrencies are considered hedge and diversifier assets before the 2020 global pandemic. Dash, Bitcoin, Monero, and Ripple may serve as good protectors against extreme stock markets’ co-movements during the COVID-19 outbreak in many countries. Risks among oil markets cannot be hedged by the kind of cryptocurrencies. In addition, the dynamic dependence between cryptocurrencies and Gold follows the same trend except for a couple of Gold-Dash. These results have important implications for investors and market participants to track the progress of the different safe-haven instruments. Thus, portfolio managers may take into account the few eligible cryptocurrencies for inclusion in their portfolios. Speculators in stock and cryptocurrency markets may use a spread technique to boost their portfolio return. | ||
| کلیدواژهها | ||
| Developed and BRICS Stock Markets؛ COVID-19 Pandemic؛ Gold؛ Digital Assets؛ VIX؛ WTI؛ C-Vine Copula | ||
| مراجع | ||
|
Aas, K., Czado, C., Frigessi, A., & Bakken, H. (2009). Pair-Copula Constructions of Multiple Dependence. Insurance: Mathematics and Economics, 44(2), 182–198. Ardia, D., Bluteau, K., & Ruede, M. (2019). Regime changes in Bitcoin GARCH volatility dynamics, Finance Research Letters, 29, 266-271. Aslanidis, N., Bariviera A. F., & Martínez-Ibañez, O. (2019). An Analysis of Cryptocurrencies Conditional Cross Correlations. Finance Research Letters, 31, 130-137. Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 74, 3-30. Baur, D. G., & Lucey, B. M. (2010). Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. The Financial Review, 45(2), 217-229. Baur, D. G., & McDermott, T. K. (2010). Is Gold a Safe Haven? International Evidence. Journal of Banking & Finance, 34, 1886-1898. Baur, D. G., Hong, K., & Lee, A. D. (2018). Bitcoin: Medium of Exchange or Speculative Assets? Journal of International Financial Markets, Institutions and Money, 54, 177-189. Beckmann, J., Berger, T., & Czdaj, R. (2015). Does Gold Act As a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach. Economic Modelling, 48, 16-24. Bedford, T., & Cooke, R. (2002). Vines – A New Graphical Model for Dependent Random Variables. Annals of Statistics, 30, 1031-1068. ---------- (2001). Probability Density Decomposition for Conditionally Dependent Random Variables Modeled by Vines. Annals of Mathematics and Artificial Intelligence, 32, 245-268. Bouri, E., Hagfors, L. I., & Molnar, P. (2017a). On the Hedge and Safe Haven Properties of Bitcoin: Is it really more than a Diversifier? Finance Research Letters, 20, 192-198. Bouri, E., Jalkh, N., Molnar, P., & Roubaud, D. (2017b). Bitcoin for Energy Commodities before and after the December 2013 Crash: Diversifier, Hedge or Safe Haven? Applied Economics, 49(50), 5063–5073. Bouri, E., Shahzad, S., Roubaud, D., Kristoufek, L., & Lucey, B. (2020). Bitcoin, Gold, and Commodities as Safe Havens for Stocks: New Insight through Wavelet Analysis. The Quarterly Review of Economics and Finance, 77, 156-164. Bowman, R. G., & Comer, M. R. (2000). The Reaction of World Equity Markets to the Asian Economic Crisis. University of Auckland, Working Paper, 2000, 1-51. Bredin, D., Conlon, T., & Potì, V. (2015). Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven across Time and Investment Horizon. International Review of Financial Analysis, 41, 320-328. Charfeddine, L., Benlagha, N., & Maouchi, Y. (2020). Investigating the Dynamic Relationship between Cryptocurrencies and Conventional Assets: Implications for Financial Investors. Economic Modelling, 85, 198-217. Ciaian, P., Rajcaniova, M., & Kancs, D. A. (2016). The Economics of Bitcoin Price Formation. Applied Economics, 48(19), 1799-1815. Conlon, T., & McGee, R. (2020). Safe Haven or Risky Hazard? Bitcoin during the COVID-19 Bear Market. Finance Research Letters, 35, 101-120. Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019). Cryptocurrencies as a Financial Asset: A Systematic Analysis. International Review of Financial Analysis, 62, 182-199. Corbet, S., Meegan, A., Larkin, C., Lucey, B., & Yarovaya, L. (2018). Exploring the Dynamic Relationships between Cryptocurrencies and other Financial Assets. Economics Letters, 165, 28-34. Dyhrberg, A. H. (2016). Hedging Capabilities of Bitcoin. Is it the Virtual Gold? Finance Research Letters, 16, 139-144. Fakhfekh, M., & Jeribi, A. (2020). Volatility Dynamics of Crypto-Currencies Returns: Evidence from Asymmetric and Long Memory GARCH Models. Research in International Business and Finance, 54, 2-8. Fakhfekh, M., Jeribi, A., Ghorbel, A., & Hachicha, N. (2021). Hedging stock Market Prices with WTI, Gold, VIX and Cryptocurrencies: a Comparison between DCC, ADCC and GO-GARCH Models. International Journal of Emerging Markets, 1746-8809, 1-29. Garcia, D., & Schweitzer, F. (2015). Social Signals and Algorithmic Trading of Bitcoin. Royal Society Open Science, 2(9), 1-13. Garcia-Jorcano, L., & Benito, S. (2020). Studying the Properties of the Bitcoin as a Diversifying and Hedging Asset through a Copula Analysis: Constant and Time-Varying. Research in International Business and Finance, 54,101-113. Ghorbel, A., & Jeribi, A. (2021a). Investigating the Relationship between Volatilities of Cryptocurrencies and other Financial Assets. Decisions in Economics and Finance, 44, 817-843. ---------- (2021b). Contagion of COVID-19 Pandemic between oil and Financial Assets: the Evidence of Multivariate Markov Switching GARCH Models. Journal of Investment Compliance, 22(2), 151-169. ---------- (2021c). Volatility Spillovers and Contagion between Energy Sector and Financial Assets during COVID‑19 Crisis Period. Eurasia Business and Economics Society, 11, 449-467. Guesmi, K., Saadi, S., Abid, I., & Ftiti, Z. (2019). Portfolio Diversification with Virtual Currency: Evidence from Bitcoin. International Review of Financial Analysis, 63, 431-437. Jareno, F., Gonzalez, M., Tolentino, M., & Sierra, K., (2020). Bitcoin and Gold Price Returns: A Quantile Regression and NARDL Analysis. Resources Policy, 67, 101-116. Jeribi, A., & Fakhfekh, M. (2021). Portfolio Management and Dependence Structure between Cryptocurrencies and Traditional Assets: Evidence from FIEGARCH-EVT-Copula. Journal of Asset Management, 22(3), 1-16. Jeribi, A., & Ghorbel, A. (2021). Forecasting Developed and BRICS Stock Markets with Cryptocurrencies and Gold: Generalized Orthogonal Generalized Autoregressive Conditional Heteroskedasticity and Generalized Autoregressive Score Analysis. International Journal of Emerging Markets, 1746-8809, 1-31. Jeribi, A., & Masmoudi, K. W. (2021). Investigating Dynamic Interdependencies between Traditional and Digital Assets during the COVID-19 Outbreak: Implications for G7 and Chinese Financial Investors. Journal of Research in Emerging Markets, 3(3), 60-80. Jeribi, A., & Snene Manzli, Y. (2021). Can Cryptocurrencies be a Safe Haven during the Novel COVID-19 Pandemic? Evidence from the Tunisian Stock Market. Journal of Research in Emerging Markets, 3(1), 14-31. Jeribi, A., Chamsa, D., & Snene_Manzli, Y. (2020). Emerging Stock Markets’ Reaction to COVID-19: Can Cryptocurrencies be a Safe Haven? Journal of Management and Economic Studies, 2(3), 152-165. Jeribi, A., Jena, S. K., & Lahiani, A. (2021). Are Cryptocurrencies a Backstop for the Stock Market in a COVID-19-Led Financial Crisis? Evidence from the NARDL Approach. International Journal of Financial Studies, 9(3), 33-45. Joe, H. (1997). Multivariate Models and Dependence Concepts. London: Chapman & Hall. Kajtazi, A., & Moro, A. (2019). The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study. International Review of Financial Analysis, 61, 143-157. Klein, T., Thu, H. P., & Walther, T. (2018). Bitcoin is not the New Gold-A Comparison of Volatility, Correlation, and Portfolio Performance. International Review of Financial Analysis, 59, 105-116. Lahiani, A, Jeribi, A., & Jlassi, N. (2021). Nonlinear Tail Dependence in Cryptocurrency-Stock Market Returns: The Role of Bitcoin Futures. Research in International Business and Finance, 56, 101-135. Lehkonen, H., & Heimonen, K. (2014). Timescale-Dependent Stock Market Co-Movement: BRICs vs. Developed Markets. Journal of Empirical Finance, 28, 90-103. Lucey, M., & Li, S. (2014). What Precious Metals Act as Safe Havens, and When? Some US Evidence. Applied Economics Letters, 22, 35-45. Malevergne, Y., & Sornette, D. (2003). Testing the Gaussian Copula Hypothesis for Financial Assets Dependences. Finance, 3, 231-250. Mensi, W., Hkiri, B., Al-Yahyaee, K. H., & Kang, S. H. (2018). Analyzing time–Frequency Co-Movements across Gold and Oil Prices with BRICS Stock Markets: A VaR Based on Wavelet Approach. International Review of Economics & Finance, 54, 74-102. Mensi, W., Shahzad, S. J. H., Hammoudeh, S., Zeitun, R., & Rehman, M. U. (2017). Diversification Potential of Asian Frontier, BRIC Emerging and Major Developed Stock Markets: A Wavelet-Based Value at Risk Approach. Emerging Markets Review, 32, 130-147. Nakamoto, S. (2008). Bitcoin: A Peer-to-Peer Electronic Cash System. Retrieved from http://bitcoin.org/bitcoin.pdf Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59, 347-370. ---------- (1990). ARCH Models as Diffusion Approximations. Journal of Econometrics, 45, 7-38. Pasutasarayut, P., & Chintrakarn, P. (2012). Is Gold a Hedge or Safe Haven? A Case Study of Thailand. European Journal of Scientific Research, 74, 90-95. Platanakis, E., & Urquhart, A. (2020). Should Investors Include Bitcoin in their Portfolios? A Portfolio Theory Approach. The British Accounting Review, 52(4), 100-118. Salisu, A. A., Ebuh, G. U., & Usman, N. (2020). Revisiting Oil-Stock Nexus during COVID-19 Pandemic: Some Preliminary Results. The International Review of Economics & Finance, 69, 280-294. Selmi, R., Mensi, W., Hammoudeh, S., & Bouoiyour, J. (2018). Is Bitcoin a Hedge, a Safe Haven or a Diversifier for Oil Price Movements? A Comparison with Gold. Energy Economics, 74, 787-801. Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L. (2020). Safe Haven, Hedge and Diversification for G7 Stock Markets: Gold versus Bitcoin. Economic Modelling, 87, 212-224. Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). Is Bitcoin a better Safe-Haven Investment than Gold and Commodities? International Review of Financial Analysis, 63, 322-330. Sharif, A., Aloui, C., & Yarovaya, L. (2020). Covid-19 Pandemic, Oil Prices, Stock Market, Geopolitical Risk and Policy Uncertainty Nexus in the US Economy: Fresh Evidence from the Wavelet-based Approach. International Review of Financial Analysis, 70, 101-114. Syriopoulos, T., Beljid, M., & Boubaker, A. (2015). Stock Market Volatility Spillovers and Portfolio Hedging: BRICS and the Financial Crisis. International Review of Financial Analysis, 39, 7-18. Tiwari, A. K., Raheem, I. D., & Kang, S. H. (2019). Time-varying Dynamic Conditional Correlation between Stock and Cryptocurrency Markets Using the Copula-ADCC-EGARCH Model. Physica A, 535, 1-9. | ||
|
آمار تعداد مشاهده مقاله: 258 تعداد دریافت فایل اصل مقاله: 600 |
||