Optimum investor portfolio allocation in new age digital assets

Aggarwal, Vaibhav

doi:10.1108/ijis-10-2020-0237

Cited by 8 publications

(3 citation statements)

References 43 publications

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“…Cryptocurrencies association with stock markets has also been a major interest area in the past decade. Cryptocurrencies have emerged as a popular alternative investment asset class in digital assets after the erosion of trust in fiat money after the 2008 global financial crisis with the unprecedented printing of money by central banks (Aggarwal, 2022). Academic literature has been growing on the possible impact of adding cryptocurrencies to a portfolio.…”

Section: Key Factors Influencing Stock Market Volatilitymentioning

confidence: 99%

Stock market volatility: a systematic review

Dhingra,

Batra,

Aggarwal

et al. 2023

JM2

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Purpose The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a comprehensive review of how stock market volatility is influenced by macro and firm-level factors. Therefore, this study aims to fill this gap by systematically reviewing the major factors impacting stock market volatility. Design/methodology/approach This study uses a combination of bibliometric and systematic literature review techniques. A data set of 54 articles published in quality journals from the Australian Business Deans Council (ABDC) list is gathered from the Scopus database. This data set is used to determine the leading contributors and contributions. The content analysis of these articles sheds light on the factors influencing market volatility and the potential research directions in this subject area. Findings The findings show that researchers in this sector are becoming more interested in studying the association of stock markets with “cryptocurrencies” and “bitcoin” during “COVID-19.” The outcomes of this study indicate that most studies found oil prices, policy uncertainty and investor sentiments have a significant impact on market volatility. However, there were mixed results on the impact of institutional flows and algorithmic trading on stock volatility, and a consensus cannot be established. This study also identifies the gaps and paves the way for future research in this subject area. Originality/value This paper fills the gap in the existing literature by comprehensively reviewing the articles on major factors impacting stock market volatility highlighting the theoretical relationship and empirical results.

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Section: Key Factors Influencing Stock Market Volatilitymentioning

confidence: 99%

Stock market volatility: a systematic review

Dhingra,

Batra,

Aggarwal

et al. 2023

JM2

Self Cite

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“…Undoubtedly cryptocurrencies are now part of our financial system, and they are growing strength by strength with every passing day (Rossikhin et al, 2018). Their contribution to the economy is also rising with time (Aggarwal, 2021). It is prudent to define cryptocurrencies before starting a discussion because one of the first issues that cryptocurrencies face is its definition.…”

Section: Introductionmentioning

confidence: 99%

“…, 2018). Their contribution to the economy is also rising with time (Aggarwal, 2021). It is prudent to define cryptocurrencies before starting a discussion because one of the first issues that cryptocurrencies face is its definition.…”

Section: Introductionmentioning

confidence: 99%

Impact of cryptos on the inflation volatility in India: an application of bivariate BEKK-GARCH models

Rastogi

Kanoujiya

2022

JEAS

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Purpose The main aim of the study is to explore the volatility spillover effect of cryptocurrencies (Bitcoin, Ethereum and Litecoin) on inflation volatility in India.Design/methodology/approach A popular tool, the Bivariate GARCH model (BEKK-GARCH), to study the volatility spillover effect, is applied in the study. Monthly data of cryptocurrencies and inflation (WPI and CPI indices) are gathered from 2015 to 2021.Findings Significant short-term responsiveness of volatility of cryptocurrencies on the inflation volatility is found. In addition to this, the significant volatility spillover effect from the cryptocurrencies to the inflation volatility is found.Practical implications The findings of the current paper can be of use for inflation management, target inflation policies and policies to contain the volatility of cryptocurrencies. The significance of the current paper is relevant as governments worldwide are officially recognizing cryptocurrencies and starting the process of launching their official virtual currency.Originality/value No other study is observed on the topic. Hence, the contribution and novelty of the findings of the current paper are very high and add value to the nonexistent literature on the topic. Lack of the number of inflation observations (data of CPI and WPI are available only in monthly frequency) crimps the model estimation. As the cryptocurrencies become old, more data points will be available by design, and such problems can be resolved, and better model estimation may be possible.

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