Extreme connectedness between NFTs and US equity market: A sectoral analysis

International Review of Economics & Finance, Journal Year: 2024, Volume and Issue: 91, P. 299 - 315

Published: Jan. 18, 2024

This study examines the returns connectedness between NFTs and US sector stock markets. For this purpose, we use recently developed technique of quantile-based regression to explore dependence structure under various conditions. Our results support view that sectoral markets is characterized by asymmetry heterogeneity in extreme conditions compared median quantile mean-based approach. Under normal conditions, all except ENJ are net recipients return spillover from markets, whereas, financial, consumer staple, industrial stocks major transmitters system. However, observe at both tails, as act transmitter (recipient) higher(lower) quantiles. confirms asymmetric structure. We also compute static optimal weights hedge ratios using TVP-VAR model for stocks/NFTs portfolios show investors portfolio managers may consider including their holdings achieve diversification benefits.

Language: Английский

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Assessing the impact of renewable energy tokens on BRICS stock markets: A new diversification approach

Energy Economics, Journal Year: 2024, Volume and Issue: 134, P. 107523 - 107523

Published: April 4, 2024

Language: Английский

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Asymmetric efficiency in petroleum markets before and during COVID-19

Resources Policy, Journal Year: 2023, Volume and Issue: 86, P. 104194 - 104194

Published: Sept. 25, 2023

Language: Английский

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The resilience of Shariah-compliant investments: Probing the static and dynamic connectedness between gold-backed cryptocurrencies and GCC equity markets

International Review of Financial Analysis, Journal Year: 2023, Volume and Issue: 91, P. 103045 - 103045

Published: Dec. 1, 2023

This study investigates the return spillover between Islamic gold-backed cryptocurrencies and equity markets of Gulf Cooperation Council (GCC) countries. The utilizes QVAR method to determine quantile connectedness among asset classes identify optimal portfolio weights across different economic conditions. results show that GCC economies have stronger connections with each other than cryptocurrencies. However, there is an increase in during extreme events. suggests news can amplify relationship markets. findings suggest asymmetric tails exist classes, meaning them market Accordingly, dynamic analysis reveals varying patterns periods, outlining pivotal implications. also for managers investors outlines least expensive hedging strategy. research proposes region could potentially mitigate risk their portfolios by incorporating Shariah-compliant portfolio. Further studies explore role factors such as liquidity, volatility, investor sentiment classes. Future examine effects types news, macroeconomic on Additional focus implications a beyond region.

Language: Английский

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From cryptos to consciousness: Dynamics of return and volatility spillover between green cryptocurrencies and G7 markets

Finance research letters, Journal Year: 2023, Volume and Issue: 60, P. 104899 - 104899

Published: Dec. 20, 2023

Language: Английский

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When giants fall: Tracing the ripple effects of Silicon Valley Bank (SVB) collapse on global financial markets

Research in International Business and Finance, Journal Year: 2023, Volume and Issue: 67, P. 102160 - 102160

Published: Nov. 2, 2023

Using an event study approach, we examine how the forex, metal, energy, and cryptocurrency markets responded to SVB collapse. We observe that forex metal respond positively on post-event days. In contrast, market reacts negatively but generates positive abnormal returns, indicating investors may seek refuge in these purported safe-havens. However, energy adversely event, trend continued aftermath. The advocates need for monitoring minimizing financial contagion risk due increased interconnectedness of markets. Our findings highlight perilous consequences collapse, as it triggered contagious effects spread throughout global Therefore, institutions must diversify their portfolios across various asset classes, which can help mitigate risks such events.

Language: Английский

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Equity markets and ESG dynamics: Assessing spillovers and portfolio strategies through time-varying parameters

Energy Economics, Journal Year: 2024, Volume and Issue: 134, P. 107548 - 107548

Published: April 26, 2024

Language: Английский

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Impact of tokenization on financial investments: Exploring connectedness through the case of transport and travel/tourism sectors

Finance research letters, Journal Year: 2024, Volume and Issue: 62, P. 105221 - 105221

Published: March 11, 2024

Language: Английский

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A high-frequency data dive into SVB collapse

Finance research letters, Journal Year: 2023, Volume and Issue: 59, P. 104823 - 104823

Published: Dec. 5, 2023

Language: Английский

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Reputational contagion from the Silicon Valley Bank debacle

Research in International Business and Finance, Journal Year: 2024, Volume and Issue: 69, P. 102275 - 102275

Published: Feb. 10, 2024

Based on event study method, we observe that due to Silicon Valley Bank (SVB) collapse, US and European banks experience negative returns, while Chinese remain relatively less affected. Our results also show assets like oil, gold, cryptocurrencies exhibit positive suggesting investors may seek refuge in these perceived safe havens. Additionally, our findings the SVB's financial distress has a detrimental effect stocks of banking companies Europe, whereas it impact technology regions. highlight importance proactive risk management regulatory interventions, as demonstrated by regulator's approach. Moreover, be heed returns safe-haven during periods distress. Diversifying portfolios include can prudent strategy. Furthermore, regulators must consider stricter framework counteract contagion ensure system stability case future bank collapse such SVB debacle. While offers valuable insights into effects distress, acknowledge potential limitation which is robust capturing immediate market reactions, present challenge comprehensively assessing long-term implications.

Language: Английский

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