Finance research letters, Journal Year: 2023, Volume and Issue: 60, P. 104862 - 104862
Published: Dec. 16, 2023
Language: Английский
Research in International Business and Finance, Journal Year: 2024, Volume and Issue: 72, P. 102544 - 102544
Published: Aug. 27, 2024
This study investigates the return and volatility interconnectedness between emerging digital assets, specifically agricultural tokens, U.S. equity sectors using TVP-VAR model. Analyzing data from August 7, 2020, to January 2, 2024, findings indicate modest interconnections tokens sectors, with time-varying behavior. Notably, is generally stronger than volatility, except at sample period's outset, where dominates. Return spillovers predominantly drive connectedness system, though uniquely act as net recipients of both spillovers, while mainly transmit spillovers. Optimal portfolio analysis, utilizing weights hedge ratios, reveals that incorporating offers diversification benefits enhances hedging performance. Investors are advised frequently adjust portfolios maximize gains. These provide significant implications for policymakers, market participants, investors. • Agricultural can serve effective risk management assets. dominate allocations, Asyagro showing highest token weight, enhancing diversification. Frequent adjustments necessary optimal ratios vary over time.
Language: Английский
Citations
2
Research in International Business and Finance, Journal Year: 2024, Volume and Issue: unknown, P. 102572 - 102572
Published: Sept. 1, 2024
Language: Английский
Citations
1
International Journal of Finance & Economics, Journal Year: 2024, Volume and Issue: unknown
Published: Oct. 30, 2024
ABSTRACT This study delves into the connection between Environmental, Social and Governance (ESG) indices emerging Decentralised Finance (DeFi) assets. Specifically, it explores ever‐changing, frequency‐based linkage these ESG innovative DeFi Employing wavelet coherence technique, we analyse a broad range of indices, spanning emerging, developed US alongside various examination covers period encompassing COVID‐19 pandemic Russian‐Ukrainian conflict to assess market linkages during extreme events. We then calculate optimal weights hedge ratios for ESG‐DeFi asset pairs evaluate portfolio implications. Wavelet analysis results frequently show no assets, underscoring diversification benefits adding an portfolio. However, this relationship notably strengthens at crisis's onset, indicating assets lose potential turbulent times. Portfolio allocation should mainly favour normal periods, with minimal variations in pre‐ post‐COVID. Meanwhile, ratio suggests make sound investments crises, although hedging costs increase periods. These findings hold relevance investors, managers policymakers.
Language: Английский
Citations
1
Highlights in Business Economics and Management, Journal Year: 2024, Volume and Issue: 40, P. 846 - 851
Published: Sept. 1, 2024
In March 2023, global financial markets were in the spotlight due to failure of Credit Suisse and Silicon Valley Bank. This paper provides an analysis two high-profile events, takeover bankruptcy These banks suffered from crises resulting liquidity crunches inadequate risk management systems, negative effects on their reputations began spread outside world, this triggered widespread volatility ultimately led downfall. Through research data analysis, article reveals reasons behind collapses Bank, discusses for collapse Bank far-reaching impact market, especially investment market. The proposes feasible solution strategies, offering insights market industry.
Language: Английский
Citations
0
Research in International Business and Finance, Journal Year: 2024, Volume and Issue: 74, P. 102698 - 102698
Published: Dec. 3, 2024
Language: Английский
Citations
0
Annals of Operations Research, Journal Year: 2024, Volume and Issue: unknown
Published: Dec. 4, 2024
Language: Английский
Citations
0
Finance research letters, Journal Year: 2023, Volume and Issue: 60, P. 104862 - 104862
Published: Dec. 16, 2023
Language: Английский
Citations
1