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.
Research in International Business and Finance,
Год журнала:
2023,
Номер
67, С. 102160 - 102160
Опубликована: Ноя. 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.
Scientific Annals of Economics and Business,
Год журнала:
2024,
Номер
71(3), С. 417 - 447
Опубликована: Июнь 4, 2024
This
paper
investigates
the
hedging
and
safe
haven
capacity
of
gold
Bitcoin
against
G7
stock
market
indices
during
COVID-19
pandemic,
Russia-Ukraine
military
conflict,
Silicon
Valley
Bank
collapse.
Using
a
novel
Quantile-VAR
connectedness
approach,
results
show
that,
at
median
quantile,
both
act
as
effective
hedges
normal
conditions
strong
safe-haven
assets
three
crises.
Gold
emerges
most
prominent
asset,
outperforming
Bitcoin,
especially
war
SVB
Among
indices,
Japanese
American
stocks
may
be
used
risk
diversifiers
As
for
rest
stocks,
they
are
regarded
“risk-on”
investments.
Next,
we
assessed
robustness
our
various
quantiles.
We
found
them
to
generally
consistent
with
outcomes
obtained
one
exception
related
S&P500.The
that
repercussions
pandemic
much
stronger
than
banking
crisis.
Journal of risk and financial management,
Год журнала:
2025,
Номер
18(1), С. 20 - 20
Опубликована: Янв. 6, 2025
Stablecoins
are
crypto
assets
designed
to
maintain
stable
value
by
bridging
fiat
currencies
and
volatile
assets.
Our
study
extends
previous
research
analyzing
the
instability
co-movement
of
major
stablecoins
(USDT,
USDC,
DAI,
TUSD)
during
significant
economic
events
such
as
COVID-19
pandemic
collapses
Iron
Finance,
Terra-Luna,
FTX,
Silicon
Valley
Bank
(SVB).
We
investigated
temporal
volatility
dynamic
connections
between
using
wavelet
techniques.
results
showed
that
announcement
USDT’s
listing
on
Coinbase
in
April
2021
significantly
impacted
stability
stablecoins,
evidenced
a
decline
power
spectrum.
This
phenomenon
has
not
been
explored
literature.
Furthermore,
collapse
SVB
was
highly
relevant
stablecoin
market.
observed
high
coherence
pairs
pandemic,
listing,
SVB.
After
USDT,
DAI
became
more
connected
medium
term,
with
USDC
extending
long
term
despite
negative
USDT
others.
highlights
impact
exchange
listings
implications
for
investors,
regulators,
cryptocurrency
community,
especially
regarding
safe
integration
these
into
financial
system.
Tạp chí Kinh tế và Phát triển,
Год журнала:
2025,
Номер
unknown
Опубликована: Янв. 1, 2025
Nghiên
cứu
được
thực
hiện
nhằm
mục
tiêu
đánh
giá
hiệu
ứng
lan
truyền
rủi
ro
đuôi
giữa
tám
loại
tiền
điện
tử
(Bitcoin,
Ethereum,
Tether,
Binance,
USD
Coin,
XRP,
Dogecoin
và
Cardano)
trong
giai
đoạn
2018
–
2024.
Để
làm
rõ
vấn
đề
này,
nghiên
sử
dụng
mô
hình
tự
hồi
quy
có
điều
kiện
(Conditional
Autoregressive
Value-at-Risk:
CAViaR)
do
Engle
&
Mangenelli
(2004)
xuất
để
ước
tính
trị
bất
đối
xứng.
Sau
đó,
chỉ
số
tỏa
theo
phân
vị
Chatziantoniou
cộng
sự
(2021)
xác
định
dưới
các
thị
trường
thay
đổi
(rủi
cao,
trung
bình
thấp).
Kết
quả
tích
nghiệm
cho
thấy
đáng
kể
tại
ảo
cao.
Ngoài
ra,
vai
trò
nhận
của
từng
ràng
cụ
thể:
(1)
Trước
COVID,
(2)
Trong
COVID-19
(3)
Chiến
tranh
Nga–Ukraine.
là
kênh
thông
tin
quan
trọng
nhà
đầu
tư
chính
sách.
