Reputational contagion and the fall of FTX: Examining the response of tokens to the delegitimization of FTT

Finance research letters, Год журнала: 2023, Номер 54, С. 103704 - 103704

Опубликована: Фев. 15, 2023

Язык: Английский

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Impact of climate policy uncertainty on return spillover among green assets and portfolio implications

Energy Economics, Год журнала: 2024, Номер 134, С. 107631 - 107631

Опубликована: Май 16, 2024

Язык: Английский

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Connectedness across meme assets and sectoral markets: Determinants and portfolio management

International Review of Financial Analysis, Год журнала: 2024, Номер 93, С. 103177 - 103177

Опубликована: Март 8, 2024

Язык: Английский

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Quantifying the volatility spillover dynamics between financial stress and US financial sectors: Evidence from QVAR connectedness

International Review of Financial Analysis, Год журнала: 2024, Номер 95, С. 103434 - 103434

Опубликована: Июль 1, 2024

This study uses quantile vector-autoregressive to examine volatility connectedness among a global financial stress index (including five categories: credit, equity valuation, funding, safe assets, and volatility) US sectors under low, moderate, extreme conditions. The dataset includes the special periods covering crisis, China COVID-19 pandemic, Russian–Ukrainian war, Silicon Valley Bank failure, Credit Suisse bank crisis. findings imply that spillover effects series are higher during than low moderate periods. During of volatility, credit category sector indices net shock transmitters, but periods, become receivers alongside funding categories indices. also exhibit recipient roles at levels those

Язык: Английский

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Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs

Research in International Business and Finance, Год журнала: 2023, Номер 65, С. 101945 - 101945

Опубликована: Апрель 1, 2023

Язык: Английский

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Artificial intelligence-based tokens: Fresh evidence of connectedness with artificial intelligence-based equities

International Review of Financial Analysis, Год журнала: 2023, Номер 89, С. 102826 - 102826

Опубликована: Авг. 2, 2023

Язык: Английский

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Interconnectedness between healthcare tokens and healthcare stocks: Evidence from a quantile VAR approach

International Review of Economics & Finance, Год журнала: 2023, Номер 86, С. 271 - 283

Опубликована: Март 11, 2023

Язык: Английский

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Frequency connectedness between FinTech, NFT and DeFi: Considering linkages to investor sentiment

International Review of Financial Analysis, Год журнала: 2023, Номер 90, С. 102925 - 102925

Опубликована: Сен. 7, 2023

Язык: Английский

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Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress

Journal of commodity markets, Год журнала: 2023, Номер 33, С. 100380 - 100380

Опубликована: Дек. 15, 2023

Язык: Английский

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Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach

Journal of Behavioral and Experimental Finance, Год журнала: 2023, Номер 39, С. 100823 - 100823

Опубликована: Май 30, 2023

This study examines potential tail spillovers between insurance tokens and conventional stocks using the quantile connectedness approach by Ando et al. (2022). In particular, this explores static dynamic at lower upper tails of return distribution. line with previous studies, within market may show positive but low levels. Furthermore, our findings confirm a higher sensitivity system both distribution in comparison median (Q=0.50). As expected, measures change over time, intensifying extremes finding is confirmed robustness test that consists analyzing RTD (Relative Tail Dependence) measure, as we reject symmetric response, since its values are clearly different from zero most sample period. These results interest to portfolio managers, will allow them suggest adjustments investment portfolios according evolution found.

Язык: Английский

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