Are cryptocurrencies connected to forex? A quantile cross-spectral approach

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F19%3A00108930" target="_blank" >RIV/00216224:14560/19:00108930 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S1544612318303611" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1544612318303611</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.frl.2018.09.002" target="_blank" >10.1016/j.frl.2018.09.002</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Are cryptocurrencies connected to forex? A quantile cross-spectral approach

Popis výsledku v původním jazyce

This paper analyzes the connectedness between forex and cryptocurrencies using the quantile cross-spectral approach. The sample covers six forex and six cryptocurrencies over the period of September 2015–December 2017. Compared with the results obtained from standard correlations and DMCA, the quantile cross-spectral approach provides richer information on the dependence structure across different quantiles and frequencies. The results show that there are some significant negative dependencies between forex and cryptocurrencies from both the short- and long-term perspectives; thus, it is worth diversifying between these two asset groups. Moreover, the connection between cryptocurrencies is not as strong as is widely believed.

Název v anglickém jazyce

Are cryptocurrencies connected to forex? A quantile cross-spectral approach

Popis výsledku anglicky

This paper analyzes the connectedness between forex and cryptocurrencies using the quantile cross-spectral approach. The sample covers six forex and six cryptocurrencies over the period of September 2015–December 2017. Compared with the results obtained from standard correlations and DMCA, the quantile cross-spectral approach provides richer information on the dependence structure across different quantiles and frequencies. The results show that there are some significant negative dependencies between forex and cryptocurrencies from both the short- and long-term perspectives; thus, it is worth diversifying between these two asset groups. Moreover, the connection between cryptocurrencies is not as strong as is widely believed.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Finance Research Letters

ISSN

1544-6123

e-ISSN

1544-6131

Svazek periodika

29

Číslo periodika v rámci svazku

June 2019

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

10

Strana od-do

363-372

Kód UT WoS článku

000473248800051

EID výsledku v databázi Scopus

2-s2.0-85053726931