VEETHIKA-An International Interdisciplinary Research Journal,
Год журнала:
2024,
Номер
10(4), С. 1 - 15
Опубликована: Ноя. 29, 2024
This
study
employs
an
asymmetric
VAR(1)-multivariate
GARCH(1,1)-BEKK
approach
to
evaluate
the
returns,
shock,
and
volatility
spillovers
for
BTC-USD,
LTC-USD,
BNB-USD,
ETH-USD
cryptocurrencies.
The
findings
of
current
reveal
significant
interconnectedness
in
between
currencies,
notable
complementarity
observation
BTC
ETH.
Additionally,
LTC
BNB
exhibit
inverse
impact
on
ETH
indicating
their
increasing
popularity
among
investors.
variance
equation
analysis
demonstrates
that
past
shocks/news
significantly
affect
all
cryptocurrencies,
with
lower
cross-news
effects
compared
internal
news
impacts.
In
addition
that,
a
short-term
long-term
are
found
four
major
cryptocurrencies
market.
Further,
we
find
substantial
increase
conditional
selected
from
April
2022
November
2022.
research
work
emphasizes
significance
interconnectedness,
dynamics
portfolio
management.
it
provides
suggestions
policymaking
effective
risk
management
strategies
regulatory
measures
Energy Economics,
Год журнала:
2024,
Номер
unknown, С. 107404 - 107404
Опубликована: Фев. 1, 2024
Our
study
is
a
novel
attempt
to
examine
the
sub-industry
sectors
of
conventional
energy
(i.e.,
oil
&
gas,
crude
production,
refinery
marketing,
and
equipment
services)
sector
green
renewable
energy)
analyse
systemic
risk
commonality.
The
results
show
that
for
has
decreased
since
2006,
indicating
shift
towards
net-zero
emissions.
Further,
we
develop
contagion
index
(SCI)
energy.
SCI
shows
lower
than
However,
appears
create
during
crises,
its
herding
characteristics
investors'
preference
crises.
A
mild
commonality
between
provides
an
opportunity
energy,
thus
enhancing
possibility
achieving
These
findings
provide
guidance
policymakers
build
global
policy
achieve
emissions
in
2050.
Finance research letters,
Год журнала:
2024,
Номер
64, С. 105384 - 105384
Опубликована: Апрель 11, 2024
Based
on
research
conducted
by
Chordia
et
al.
in
2000,
we
analyzed
the
volatility
of
energy
indices
to
determine
whether
there
is
a
commonality
among
them.
Our
dataset
included
green,
sustainable,
and
brown
indices,
discovered
that
indeed
markets,
with
exhibiting
least
commonality.
Furthermore,
found
markets
has
decreased
since
Paris
Agreement
was
signed.
These
results
indicate
other
global
policy
initiatives
are
crucial
for
markets.
Review of Accounting and Finance,
Год журнала:
2024,
Номер
23(5), С. 621 - 645
Опубликована: Июнь 24, 2024
Purpose
Interconnections
among
banks
are
an
essential
feature
of
the
banking
system
as
it
helps
in
effective
payment
and
liquidity
management.
However,
can
be
a
nightmare
during
crisis
when
these
interconnections
act
contagion
channels.
Therefore,
becomes
essentially
important
to
identify
good
links
(non-contagious
channels)
bad
(contagious
channels).
Design/methodology/approach
The
article
estimated
systemic
risk
using
quantile
regression
through
ΔCoVaR
approach.
interconnected
phenomenon
has
been
analyzed
Granger
causality,
network
properties
evaluated.
authors
have
developed
fixed
effect
panel
model
predict
interconnectedness.
Profitability-adjusted
index
is
framed
(non-contagious)
or
(contagious)
further
logit
find
probability
link
being
non-contagious.
study
sample
includes
36
listed
Indian
for
period
2012
2018.
Findings
indicated
increased
drastically
non-performing
asset
crisis.
highlighted
that
channels
higher
than
non-contagious
studied
periods.
Interbank
distance
dominates
distance,
highlighting
importance
network.
It
also
found
characteristics
indicator
Originality/value
first
differentiate
contagious
interbank
uniqueness
lies
developing
normalized
index,
where
adjusted
profitability.
