Assessing connectedness of transportation cryptocurrencies and transportation stocks: Evidence from wavelet quantile correlation

Finance research letters, Journal Year: 2023, Volume and Issue: 58, P. 104504 - 104504

Published: Sept. 23, 2023

Language: Английский

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Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach

International Review of Financial Analysis, Journal Year: 2024, Volume and Issue: 94, P. 103156 - 103156

Published: March 6, 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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Sentiment matters: the effect of news-media on spillovers among cryptocurrency returns

European Journal of Finance, Journal Year: 2024, Volume and Issue: 30(14), P. 1577 - 1613

Published: March 11, 2024

This paper explores the relationship between news media sentiment and spillover effects in cryptocurrency market. By employing a time-varying parameter vector autoregressive model, we initially develop measures of specific to individual cryptocurrencies. Subsequently, employ unique data on cryptocurrency-specific assess its impact these using panel fixed regression analysis. Our findings indicate that plays significant role explaining dynamics within Unlike traditional assets, it appears only positive affects spillovers among cryptocurrencies, suggesting an asymmetric effect. Taking into account various characteristics find sentiment's is more pronounced community-based coins than those driven by firms. An examination content suggests pertaining emotional risk aspects cryptocurrencies predominantly influences spillovers. Additionally, comparative analysis derived from social sources reveals stronger influence former effects. Through extensive robustness checks, our research consistently affirms pivotal driving returns, underlining importance understanding

Language: Английский

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Exploring volatility interconnections between AI tokens, AI stocks, and fossil fuel markets: evidence from time and frequency-based connectedness analysis

Energy Economics, Journal Year: 2024, Volume and Issue: 133, P. 107490 - 107490

Published: March 20, 2024

Language: Английский

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Spillover dynamics in DeFi, G7 banks, and equity markets during global crises: A TVP-VAR analysis

Research in International Business and Finance, Journal Year: 2024, Volume and Issue: 70, P. 102405 - 102405

Published: May 27, 2024

Decentralized finance (DeFi) has become of significant interest for investors in both the financial and digital sectors. We use a time-varying parameter vector autoregression (TVP-VAR) approach to estimate static dynamic connections between within DeFi, G7 banking, equity markets. focus on critical events such as COVID-19 pandemic, cryptocurrency bubble, Russia-Ukraine conflict. The results highlight interconnectedness spillovers markets, especially during pandemic. Notably, there were spillover effects from banking markets Japan DeFi assets. findings demonstrate robust connection platforms, stock throughout these tumultuous periods. Policymakers, investors, entrepreneurs are recommended keep close eye changes traditional adjust risk

Language: Английский

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The Quantile Connectedness of the International Housing Market

Journal of International Money and Finance, Journal Year: 2025, Volume and Issue: 152, P. 103266 - 103266

Published: Jan. 9, 2025

Language: Английский

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Tokens and cryptocurrencies: Evidence from asymmetric frequency connectedness approach

Research in International Business and Finance, Journal Year: 2025, Volume and Issue: unknown, P. 102884 - 102884

Published: April 1, 2025

Language: Английский

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Connectedness between travel & tourism tokens, tourism equity, and other assets

Finance research letters, Journal Year: 2022, Volume and Issue: 53, P. 103595 - 103595

Published: Dec. 16, 2022

Language: Английский

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Integration between asset management tokens, asset management stock, and other financial markets: Evidence from TVP-VAR modeling

Finance research letters, Journal Year: 2023, Volume and Issue: 57, P. 104276 - 104276

Published: July 26, 2023

Language: Английский

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