On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia

Frankovic, Jozo; Liu, Bin; Suardi, Sandy

doi:10.1016/j.gfj.2021.100642

Cited by 31 publications

(17 citation statements)

References 45 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…[20] F. The effect of digital currency on the rediscount rate Individuals can buy and sell digital currencies in exchange for legal currency issued by the Central Bank, and this money enters the treasury of commercial banks because digital currency issuers deposit the money they obtained from selling digital currency in commercial banks, and the latter increases its reserves with the Central Bank due to its increased liquidity , which leads to an increase in the reserves of commercial banks in excess of the desired size. [21] In this case, the banks choose between two things: First: Purchasing assets from non-bank institutions and granting more loans.…”

Section: E the Effect Of Digital Currency On Legal Reservesmentioning

confidence: 99%

Effects of Cryptocurrencies on Global Economics: A Review Study

Masiha¹

2022

QAJ

View full text Add to dashboard Cite

The features of a new global economy appear stronger and faster than the changes recorded by the economy throughout history, and the “Covid-19” pandemic has accelerated these transformations, achieving on the ground a global experience to deal with digital payment via credit cards and the use of online payment applications, and it marks the beginning of the end of the era of paper currencies. And the trend towards investing in crypto and digital currencies on the part of investors, in conjunction with the competition of countries around the world to win the issuance of the first digital currency issued by central banks. There are many questions about replacing the digital currency with gold or the dollar in a rapid transformation that changes the trends of the global economy, and the number of cryptocurrencies around the world has reached about 4337 currencies with a market value of $ 1.003 trillion, “Bitcoin” holds the largest share by 66% with a market value of $ 664 billion. Despite many official warnings against investing in these unregulated currencies, fintech startups are witnessing a surge in demand from consumers who are rushing to invest in cryptocurrencies amid great interest and momentum in Bitcoin. Like Revolut, eToro and Luno, cryptocurrency demand surged on their platforms amid the resurgence of Bitcoin prices.

show abstract

Section: E the Effect Of Digital Currency On Legal Reservesmentioning

confidence: 99%

Effects of Cryptocurrencies on Global Economics: A Review Study

Masiha¹

2022

QAJ

View full text Add to dashboard Cite

show abstract

“…The characteristics and relationship between cryptocurrencies and financial assets were explored with various methods, such as sequential monitoring test (Ji et al, 2020), downside risk measurement , regression analysis (Hu et al, 2019), DCC model (Stensas et al, 2019Urquhart, & Zhang, 2019) and GARCH model (Klein et al, 2018;Naeem et al, 2020). These methods were utilized to compare cryptocurrencies against stock markets (Shahzad et al, 2020;Lahmiri, and Bekiros, 2020), gold (Dyhrberg, 2016;Ji et al, 2019;Frankovic et al, 2021), oil (Okorie and Lin, 2020;Adekoya, and Oliyide, 2021), general commodity (Bouri et al, 2017b) and US dollar index (Mokni and Ajmi, 2021). Only a few of these studies considered volatility spillover and shock transmission effects, and there is a clear need for more studies that investigate the volatility spillovers between cryptocurrencies and financial assets (Bouri et al, 2018).…”

Section: Literature Reviewmentioning

confidence: 99%

Quantifying Return and Volatility Spillovers among Major Cryptocurrencies: A VAR-BEKK-GARCH Analysis

Vardar

Taçoğlu

Aydoğan

2022

Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi

View full text Add to dashboard Cite

This study investigates mean and volatility spillover effects among eight major cryptocurrencies; Bitcoin, Ethereum, Litecoin, Ripple, Stellar, Bitcoin Cash, Cardano and EOS utilizing VAR-BEKK-GARCH model. The results point out that there are bidirectional and unidirectional spillover effects among these major cryptocurrencies. Moreover, the findings indicate that some cryptocurrencies are the transmitter, while others act as a receiver and among all, Litecoin is the highest transmitter, and Stellar is the only one that acts as a receiver. The interdependence among cryptocurrencies supports that they are becoming more integrated and thereby, provides important investment strategies for investors and policy implications for regulators.

show abstract

“…Spillover indices have been widely used in recent years. Frankovic et al (2022) in their blockchain study at the company level and Balcılar et al (2022), on the other hand, used the volatility index in the volatility spillover between developing countries and crypto assets. In this study, it has been tried to get results in order to manage portfolio risk by bringing together developed and developing stock markets with crypto assets in a spillover index.…”

Section: Research Subject and Purposementioning

confidence: 99%

Kripto Paralarla Borsalar Arasındaki Volatilite Yayılımı

2022

View full text Add to dashboard Cite

Kripto paralar, dijital para birimleridir. Merkezi veri tabanı olmayan verileri blok zincir sistemi ile muhafaza ve teyit eden bir algoritmadır. Kripto paralar merkeziyetsiz para, düşük işlem maliyeti ve hızlı fon transferi gibi amaçlarla mevcut para piyasasına alternatif olarak ortaya çıkarken zamanla kripto piyasasının sermaye piyasalarına da alternatif özellikler sergilediği görülmüştür. Bu çalışmada kripto paralarla menkul kıymet borsaları arasındaki volatilite yayılımı incelenmiştir. Çalışmada kripto paraları temsilen bitcoin, etherium, litecoin ve ripple kullanılırken borsaları temsilen S&P500 (ABD), DAX (Almanya), Shanghai (Çin) ve BİST100 (Türkiye) endeksleri kullanılmıştır. Çalışma dönemi 24 Ağustos 2016 – 18 Kasım 2021 şeklinde oluşturulmuş ve volatilite yayılımı Diebold ve Yılmaz (2012) yayılım endeksiyle araştırılmıştır. Çalışmada borsa endeksleriyle kripto para getirileri arasında karşılıklı volatilite yayılımı olduğu görülmüştür. Net volatilite yayılımlarına bakıldığında, S&P500 endeksinin örneklem içinde volatilite yayıcısı olduğu bu özelliği etherium ve bitcoinin izlediği buna karşın Shanghai, BİST100 ve DAX endekslerinin volatilite alıcısı oldukları, bu endeksleri litecoin ve ripplenin izlediği belirlenmiştir. Çalışmada ayrıca COVID-19 salgın döneminde volatilite yayılım endeksinin önemli derecede arttığı, COVID-19 aşılama süreciyle birlikte volatilite yayılım endeksinin tekrar azalmaya başladığı anlaşılmıştır.

show abstract

On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia

Cited by 31 publications

References 45 publications

Effects of Cryptocurrencies on Global Economics: A Review Study

Effects of Cryptocurrencies on Global Economics: A Review Study

Quantifying Return and Volatility Spillovers among Major Cryptocurrencies: A VAR-BEKK-GARCH Analysis

Kripto Paralarla Borsalar Arasındaki Volatilite Yayılımı

Contact Info

Product

Resources

About