3.9 Article

Safe haven, hedge and diversification for African stocks: cryptocurrencies versus gold in time-frequency perspective

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Environmental Studies

Interconnectedness among commodities, the real sector of Ghana and external shocks

Ebenezer Boateng et al.

Summary: The study reveals a mixed positive and negative bi-causality between commodities and economic indicators, with commodities making a positive contribution to economic activities but gold causing an increase in medium-term inflation rate. Furthermore, Global Economic Policy Uncertainty has the most adverse impact on commodities.

RESOURCES POLICY (2022)

Article Environmental Studies

GAS and GARCH based value-at-risk modeling of precious metals

Peterson Owusu et al.

Summary: The study compares and tests the diversity and predictive accuracy of VaR models for precious metals, finding that platinum exhibits the highest model heterogeneity, while homogeneity in the SSM suggests well-diversified investment portfolios. The MCS procedure shows superior ability in selecting superior set models compared to the initial 38 models.

RESOURCES POLICY (2022)

Article Business

Forecasting developed and BRICS stock markets with cryptocurrencies and gold: generalized orthogonal generalized autoregressive conditional heteroskedasticity and generalized autoregressive score analysis

Ahmed Jeribi et al.

Summary: This paper models and forecasts the risk of cryptocurrencies, stock market indices, and gold returns, finding that Bitcoin has the highest risk and Gold and BRICS indices have lower risk compared to developed countries. It also shows that Bitcoin and Gold can be used to hedge risks in developed stock markets, while Gold and Bitcoin act as diversifying assets for BRICS economies. Dash and Monero are identified as diversifying assets for developed stock markets.

INTERNATIONAL JOURNAL OF EMERGING MARKETS (2022)

Article

Can crude oil price returns drive stock returns of oil producing countries in Africa? Evidence from bivariate and multiple wavelet

Emmanuel Asafo-Adjei et al.

Macroeconomics and Finance in Emerging Market Economies (2021)

Article Multidisciplinary Sciences

Financial sector and economic growth amid external uncertainty shocks: Insights into emerging economies

Emmanuel Asafo-Adjei et al.

Summary: The study reveals a bidirectional causality between the financial sector and economic growth, with global economic policy uncertainty distorting their relationship, especially for South Africa.

PLOS ONE (2021)

Article Mathematics

Modeling of the Bitcoin Volatility through Key Financial Environment Variables: An Application of Conditional Correlation MGARCH Models

Angeles Cebrian-Hernandez et al.

Summary: This study examines the relationship between Bitcoin volatility and key financial environment variables, using models like GARCH for analysis. The results show varying fit levels for different financial assets, with uncorrelation observed with traditional safe haven assets like gold and oil.

MATHEMATICS (2021)

Review Multidisciplinary Sciences

Time-frequency domain analysis of investor fear and expectations in stock markets of BRIC economies

Peterson Owusu Junior et al.

Summary: This study provides insights into the lead-lag relationships between the BRIC stock index and its constituents, as well as the comovements with the US volatility index. The findings show high interdependencies between the BRIC index and its constituents throughout the time-frequency domain, with the BRIC index being the first variable to respond to shocks. There is also a uni-directional causality between the VIX and BRIC stocks in the medium- and long-terms.

HELIYON (2021)

Article Environmental Studies

Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic

Ebenezer Boateng et al.

Summary: This study examined the performance of stock markets in major African oil-importing and oil-exporting countries during the COVID-19 pandemic, finding a negative impact of oil implied volatility shocks on stock returns, especially during market downturns. The research also revealed an asymmetric influence of oil implied volatility shocks on African stock markets.

RESOURCES POLICY (2021)

Article Mathematics, Interdisciplinary Applications

Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis

Emmanuel Asafo-Adjei et al.

DISCRETE DYNAMICS IN NATURE AND SOCIETY (2020)

Article Business, Finance

Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis

Xingzhi Qiao et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2020)

Article Business, Finance

Stock markets' reaction to COVID-19: Cases or fatalities?

Badar Nadeem Ashraf

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE (2020)

Article Business, Finance

Volatility persistence in cryptocurrency markets under structural breaks

Emmanuel Joel Aikins Abakah et al.

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2020)

Article Business, Finance

Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis

Kai Wu et al.

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE (2020)

Article Business, Finance

Safe haven or risky hazard? Bitcoin during the Covid-19 bear market

Thomas Conlon et al.

FINANCE RESEARCH LETTERS (2020)

Article Economics

Exploring the short-term momentum effect in the cryptocurrency market

Ha Nguyen et al.

EVOLUTIONARY AND INSTITUTIONAL ECONOMICS REVIEW (2020)

Article Economics

The relationship between cryptocurrencies and COVID-19 pandemic

Ender Demir et al.

EURASIAN ECONOMIC REVIEW (2020)

Article Economics

Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin

Syed Jawad Hussain Shahzad et al.

ECONOMIC MODELLING (2020)

Article Business, Finance

Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models

Nidhaleddine Ben Cheikh et al.

FINANCE RESEARCH LETTERS (2020)

Article Physics, Multidisciplinary

Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility

Maurice Omane-Adjepong et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2019)

Article Physics, Multidisciplinary

Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model

Aviral Kumar Tiwari et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2019)

Article Business, Finance

Are cryptocurrencies contagious to Asian financial markets?

Rangga Handika et al.

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE (2019)

Article Business, Finance

Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models

Rick Bohte et al.

JOURNAL OF RISK AND FINANCIAL MANAGEMENT (2019)

Article Business, Finance

Is Bitcoin a better safe-haven investment than gold and commodities?

Syed Jawad Hussain Shahzad et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2019)

Article Business, Finance

Conditional tail-risk in cryptocurrency markets

Nicola Borri

JOURNAL OF EMPIRICAL FINANCE (2019)

Article Economics

Price discovery of cryptocurrencies: Bitcoin and beyond

Alexander Brauneis et al.

ECONOMICS LETTERS (2018)

Article Economics

Can cryptocurrencies be a safe haven: a tail risk perspective analysis

Wenjun Feng et al.

APPLIED ECONOMICS (2018)

Article Business, Finance

Bitcoin is not the New Gold - A comparison of volatility, correlation, and portfolio performance

Tony Klein et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2018)

Article Economics

Financial regulations and price inconsistencies across Bitcoin markets

Gina Pieters et al.

INFORMATION ECONOMICS AND POLICY (2017)

Article Economics

Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach

Thi Hong Van Hoang et al.

ECONOMIC MODELLING (2016)

Article Business, Finance

Stock return predictability and determinants of predictability and profits

Deepa Bannigidadmath et al.

EMERGING MARKETS REVIEW (2016)

Article Business, Finance

Bitcoin, gold and the dollar - A GARCH volatility analysis

Anne Haubo Dyhrberg

FINANCE RESEARCH LETTERS (2016)

Article Business, Finance

Hedging capabilities of bitcoin. Is it the virtual gold?

Anne Haubo Dyhrberg

FINANCE RESEARCH LETTERS (2016)

Article Business, Finance

Why is gold a safe haven?

Dirk G. Baur et al.

JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE (2016)

Article Business, Finance

Gold as an inflation hedge in a time-varying coefficient framework

Joscha Beckmann et al.

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE (2013)

Article Engineering, Ocean

Geophysical Applications of Partial Wavelet Coherence and Multiple Wavelet Coherence

Eric K. W. Ng et al.

JOURNAL OF ATMOSPHERIC AND OCEANIC TECHNOLOGY (2012)

Article Business, Finance

Is gold a safe haven? International evidence

Dirk G. Baur et al.

JOURNAL OF BANKING & FINANCE (2010)

Article Business, Finance

Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold

Dirk G. Baur et al.

FINANCIAL REVIEW (2010)

Article Business, Finance

International comovement of stock market returns: A wavelet analysis

Antonio Rua et al.

JOURNAL OF EMPIRICAL FINANCE (2009)

Review Business, Finance

The adaptive markets hypothesis

AW Lo

JOURNAL OF PORTFOLIO MANAGEMENT (2004)

Article Astronomy & Astrophysics

Wavelet phase coherence analysis: Application to a quiet-sun magnetic element

DS Bloomfield et al.

ASTROPHYSICAL JOURNAL (2004)

Article Geosciences, Multidisciplinary

Application of the cross wavelet transform and wavelet coherence to geophysical time series

A Grinsted et al.

NONLINEAR PROCESSES IN GEOPHYSICS (2004)