教師資料查詢 | 類別: 期刊論文 | 教師: 許舒涵 HSU, SHU-HAN (瀏覽個人網頁)

標題:Risk spillovers between cryptocurrencies and traditional currencies and gold under different global economic conditions
學年
學期
出版(發表)日期2021/04/26
作品名稱Risk spillovers between cryptocurrencies and traditional currencies and gold under different global economic conditions
作品名稱(其他語言)
著者Shu-Han Hsu; Chwen Sheu; Jiho Yoon
單位
出版者
著錄名稱、卷期、頁數The North American Journal of Economics and Finance 57, 101443
摘要This paper applies a Diagonal BEKK model to investigate the risk spillovers of three major cryptocurrencies to ten leading traditional currencies and two gold prices (Spot Gold and Gold Futures). The daily data used are from 7 August 2015 to 15 June 2020. The dataset is analyzed in its entirety and is also subdivided into four distinct subsets in order to study and compare the patterns of spillover effects during economic turmoil, such as the 2018 cryptocurrency crash and the COVID-19 pandemic. The results reveal significant co-volatility spillover effects between cryptocurrency and traditional currency or gold markets, especially during the whole sample period and amid the uncertainty raised by COVID-19. The capabilities of cryptocurrency are time-varying and related to economic uncertainty or shocks. There are significant differences between normal and extreme markets with regard to the capabilities of cryptocurrency as a diversifier, a hedge or a safe haven. We find the significant co-volatility spillover effects are asymmetric in most cases especially during the COVID-19 pandemic period, which means the negative return shocks have larger impacts on co-volatility than positive return shocks of the same magnitude. Evidently, cryptocurrencies and traditional currencies or gold can be incorporated into financial portfolios for financial market participants who seek effective risk management and also for optimal dynamic hedging purposes against economic turmoil and downward movements.
關鍵字Cryptocurrency;Co-volatility spillovers effects;Diagonal BEKK model;Exchange rates;Gold;Optimal dynamic hedging
語言英文(美國)
ISSN1879-0860
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Shu Han Hsu
審稿制度
國別英國
公開徵稿
出版型式,電子版,紙本
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