Tail connectedness between lending/borrowing tokens and commercial bank stocks

Asymmetric impacts of geopolitical risk on stock markets: A comparative analysis of the E7 and G7 equities during the Russian-Ukrainian conflict

“…The attention of academics and practitioners towards assessing the extreme financial effects of market crises has risen in recent periods because of the COVID-19 pandemic crisis, where various financial markets’ reactions and overall economic recovery have been investigated widely (see, e.g., Refs. [ 1 , 15 , 20 , 24 , 25 , [27] , [28] , [29] , [30] , [31] , [32] , [33] , [34] ]). Meanwhile, discussions on the effects of geopolitical and military actions on financial markets are relatively scanty, particularly in the ongoing military tensions between Russia and Ukraine.…”

Anticipatory gains and event-driven losses in blockchain-based fan tokens: Evidence from the FIFA World Cup

“…Studies have highlighted the complex interplay between different types of tokens and traditional financial assets. For instance, while some football fan tokens show minimal correlation with football club stocks (Ersan et al, 2022;Scharnowski et al, 2023), lending and borrowing tokens demonstrate a stronger connection with bank stocks during uncertain times (Yousaf et al, 2022). This evolving landscape underscores the diverse impacts and relationships within the cryptocurrency sector, further complicated by market sentiment and news (Foglia et al, 2024).…”

Will a boom be followed by crash? A new systemic risk measure based on right-tail risk

“…In the Tail-Event driven network risk (TENET)-based model ( Härdle et al, 2016 ), we will distinguish between left-tail volatility and right-tail volatility to investigate these issues. Recent research has utilized the TENET model to examine the tail-risk relationship between the stock market, the futures market, and the cryptocurrency market ( Wang et al, 2018 ; Xu et al, 2021 ; Foglia et al, 2022 ; Naeem et al, 2022 ; Wang et al, 2022 ; Yousaf and Yarovaya, 2022 ; Yousaf et al, 2022a , b , c ). This paper modifies the standard TENET model and constructs the LR-EGARCH-TENET model by integrating right-tail information to examine left-tail and right-tail risk and their interaction across sectors.…”