2021
DOI: 10.1186/s40854-021-00247-z
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Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods

Abstract: This research investigates the appropriateness of the linear specification of the market model for modeling and forecasting the cryptocurrency prices during the pre-COVID-19 and COVID-19 periods. Two extensions are offered to compare the performance of the linear specification of the market model (LMM), which allows for the measurement of the cryptocurrency price beta risk. The first is the generalized additive model, which permits flexibility in the rigid shape of the linearity of the LMM. The second is the t… Show more

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Cited by 13 publications
(7 citation statements)
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“…In order to consistently compare entropy to standard deviation, normal entropy was used, as it is a function of variance. It is important to mention that the time period chosen in this study was arbitrary; while it includes fluctuations due to the COVID-19 pandemic (see [ 11 , 27 , 28 ]), it certainly does not include recent events that have influenced the behavior of the cryptocurrency markets, such as the war in Eastern Europe and the increased economic rivalry between the USA and China.…”
Section: Methods Data and Analysismentioning
confidence: 99%
“…In order to consistently compare entropy to standard deviation, normal entropy was used, as it is a function of variance. It is important to mention that the time period chosen in this study was arbitrary; while it includes fluctuations due to the COVID-19 pandemic (see [ 11 , 27 , 28 ]), it certainly does not include recent events that have influenced the behavior of the cryptocurrency markets, such as the war in Eastern Europe and the increased economic rivalry between the USA and China.…”
Section: Methods Data and Analysismentioning
confidence: 99%
“…Bitcoin price is highly volatile, with frequent and extreme rises or falls. Much of the literature explores the properties of Bitcoin and the uncertainty factors that determine its price (Nasir et al 2019 ; Jalali and Heidari 2020 ; Mensi et al 2021 ; Neslihanoglu 2021 ; Almaqableh et al 2022b ). The relevant literature can be grouped into four themes as follows.…”
Section: Literature Reviewmentioning
confidence: 99%
“…Jak można zauważyć, badacze koncentrujący się na rynkach kapitałowych już od wielu lat podejmują w swoich rozważaniach kwestię złożonej natury współczynnika ryzyka systematycznego β. Nie inaczej było w czasie podwyższonej niepewności spowodowanej pandemią COVID-19, kiedy ponownie podjęto próby kwantyfikacji β w celu szacowania ryzyka systematycznego papierów wartościowych notowanych na światowych rynkach kapitałowych (m.in. Cakici i Zaremba, 2021;Neslihanoglu, 2021). Podobnie jak w przypadku analizy β w poprzednich okresach kryzysowych wartości tego współczynnika rosły w trakcie pandemii COVID-19, zwłaszcza w jej pierwszej fazie (Jain, 2021).…”
Section: Współczynnik Beta Jako Miara Ryzyka Systematycznego Papierów...unclassified