Deciphering the cryptocurrency conundrum: Investigating speculative characteristics and volatility

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F75081431%3A_____%2F23%3A00002636" target="_blank" >RIV/75081431:_____/23:00002636 - isvavai.cz</a>

Výsledek na webu

<a href="https://www-sciencedirect-com.ezproxy.techlib.cz/science/article/pii/S1544612323009613?via%3Dihub" target="_blank" >https://www-sciencedirect-com.ezproxy.techlib.cz/science/article/pii/S1544612323009613?via%3Dihub</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Deciphering the cryptocurrency conundrum: Investigating speculative characteristics and volatility

Popis výsledku v původním jazyce

This study employs Time-Varying Parameter Vector Autoregression (TVP-VAR) to analyze spillover effects among ten financial instruments spanning 395 weeks, encompassing significant events such as the 2016/17 cryptocurrency surge, the COVID-19 pandemic, and the Ukraine conflict. The research highlights Bitcoin's influence on equities and commodities, influenced by evolving factors, regulatory uncertainties, and market sentiment. Equity indices both transmit and absorb shocks, while commodities intensify market volatility. Overall, Bitcoin notably impacts speculative assets such as equity indices, with a moderated influence on less speculative assets, emphasizing its pivotal role in dynamic financial markets subject to changing regulations.

Název v anglickém jazyce

Deciphering the cryptocurrency conundrum: Investigating speculative characteristics and volatility

Popis výsledku anglicky

This study employs Time-Varying Parameter Vector Autoregression (TVP-VAR) to analyze spillover effects among ten financial instruments spanning 395 weeks, encompassing significant events such as the 2016/17 cryptocurrency surge, the COVID-19 pandemic, and the Ukraine conflict. The research highlights Bitcoin's influence on equities and commodities, influenced by evolving factors, regulatory uncertainties, and market sentiment. Equity indices both transmit and absorb shocks, while commodities intensify market volatility. Overall, Bitcoin notably impacts speculative assets such as equity indices, with a moderated influence on less speculative assets, emphasizing its pivotal role in dynamic financial markets subject to changing regulations.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

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OECD FORD obor

50200 - Economics and Business

Projekt

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Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2023

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

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Svazek periodika

58

Číslo periodika v rámci svazku

Neuveden

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

7

Strana od-do

1-7

Kód UT WoS článku

001096879300001

EID výsledku v databázi Scopus

2-s2.0-85174455060