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Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets

2022-09Journal article Restricted access
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dc.contributor.authorHanif, Waqas
dc.contributor.authorAreola Hernandez, Jose
dc.contributor.authorTroster, Victor
dc.contributor.authorKang, Sang Hoon
dc.contributor.authorYoon, Seong-Min
dc.date.accessioned2023-01-30T11:03:35Z
dc.date.available2023-01-30T11:03:35Z
dc.date.issued2022-09
dc.description.abstractIn this paper, we investigate the nonlinear dependence dynamics among eight cryptocurrencies (Monero, Bitcoin, Dash, Litecoin, Stellar, XRP, Ethereum, and Nem) by applying time-varying copulas. We also examine the upside and downside spillovers between cryptocurrencies and equity markets by a conditional Value-at-Risk (CoVaR) approach. We show that the dynamics of dependence of the portfolio of cryptocurrencies reveal both symmetric and asymmetric features, with the symmetric dynamics being more predominant. NEM and Ethereum have the largest downside and upside CoVaR spillovers on the world equity index, respectively. The largest downside CoVaR spillovers from the world equity index are to NEM followed by Stellar, and the largest upside spillovers are to Ethereum followed by NEM. Stellar and Bitcoin exhibit the largest downside and upside CoVaR spillovers on the Americas equity index. The largest downside CoVaR spillovers from the Americas equity index are to Stellar and NEM, and those on the upside are to Ethereum and NEM. In addition, we find that most cryptocurrencies exhibit safe haven or hedge properties more often than rare metals and diamonds for daily equity indices. Finally, we conduct an out-of-sample analysis of optimal-weighting portfolio strategies based on C-vine copulas using cryptocurrencies and equity indices that entails forward-looking measures of risk that are economically significant, which outperform benchmark strategies.pt_PT
dc.description.sponsorshipPID2020-114646RB-C43
dc.description.sponsorshipNRF2020S1A5B8103268
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1016/j.pacfin.2022.101822pt_PT
dc.identifier.eissn1879-0585
dc.identifier.urihttp://hdl.handle.net/10400.1/18961
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevierpt_PT
dc.relationCenter for Advanced Studies in Management and Economics
dc.subjectCryptocurrencypt_PT
dc.subjectCopulapt_PT
dc.subjectConditional value-at-riskpt_PT
dc.subjectEquity marketpt_PT
dc.subjectNonlinear dependencept_PT
dc.subjectSpilloverpt_PT
dc.titleNonlinear dependence and spillovers between cryptocurrency and global/regional equity marketspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleCenter for Advanced Studies in Management and Economics
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDP%2F04007%2F2020/PT
oaire.citation.startPage101822pt_PT
oaire.citation.titlePacific-Basin Finance Journalpt_PT
oaire.citation.volume74pt_PT
oaire.fundingStream6817 - DCRRNI ID
person.familyNameHanif
person.givenNameWaqas
person.identifier.ciencia-id861A-7BB4-89FE
person.identifier.orcid0000-0002-0034-2049
person.identifier.scopus-author-id57201879548
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsrestrictedAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isAuthorOfPublication.latestForDiscovery4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isProjectOfPublicationff057966-c35f-4780-902c-73db27045448
relation.isProjectOfPublication.latestForDiscoveryff057966-c35f-4780-902c-73db27045448

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