Journal of Alternative Finance,
Год журнала:
2024,
Номер
1(2), С. 131 - 157
Опубликована: Июнь 5, 2024
The
recent
global
crises
have
heightened
financial
market
instability,
surging
the
need
for
diversification,
hedging,
and
safe
haven
assets
to
mitigate
stock
risks.
This
study
employs
a
Quantile
Vector
Autoregression
(Q-VAR)
approach
analyze
interconnectedness
between
gold-backed
cryptocurrencies
G7
indices
during
spanning
from
December
1,
2020,
July
5,
2023.
Our
findings
indicate
robust
association
digital
gold
assets,
with
total
connectedness
index
(TCI)
of
58.64%.
Remarkably,
emerge
as
significant
contributors
fluctuations
compared
exerting
influence
ranging
24%
37%,
thereby
underscoring
potential
effective
diversification
strategies.
Dynamic
analysis
indicates
pivotal
role
DGX
haven,
alongside
identifying
NIKKEI
net
receiver.
Furthermore,
directional
examination
corroborates
status
receivers,
reaffirming
their
safe-haven
abilities.
Intriguingly,
an
in-depth
across
quantiles
validates
symmetrical
dynamic
connectedness,
predominantly
functioning
transmitters
spillover.
empirical
underscore
compelling
in
cryptocurrencies,
offering
valuable
insights
investors,
policymakers,
portfolio
optimization
turbulent
conditions.
International Review of Economics & Finance,
Год журнала:
2024,
Номер
91, С. 299 - 315
Опубликована: Янв. 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.
International Review of Financial Analysis,
Год журнала:
2023,
Номер
91, С. 103045 - 103045
Опубликована: Дек. 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.
Research in International Business and Finance,
Год журнала:
2024,
Номер
69, С. 102275 - 102275
Опубликована: Фев. 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.
