Pregled bibliografske jedinice broj: 1246015
A New Evidence of the Relationship between Cryptocurrencies and other Assets from the COVID- 19 Crisis
A New Evidence of the Relationship between Cryptocurrencies and other Assets from the COVID- 19 Crisis // Ekonomický časopis, 70 (2022), 7-8; 603-621 doi:10.31577/ekoncas.2022.07-8.03 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 1246015 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
A New Evidence of the Relationship between
Cryptocurrencies and other Assets from the
COVID-
19 Crisis
Autori
Aljinović, Zdravka ; Šestanović, Tea ; Škrabić Perić, Blanka
Izvornik
Ekonomický časopis (0013-3035) 70
(2022), 7-8;
603-621
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
COVID-19, cryptocurrencies, CRIX, MGARCH-DCC, conditional correlations
Sažetak
The purpose of this paper is to reinvestigate the properties of cryptocurrencies in the COVID-19 crisis as well as their co-movements with different asset classes including different stock markets, bonds, real estate, gold and oil. To capture the change in correlation caused by crisis, we employ multivariate GARCH Dynamic Conditional Correlation model. The findings suggest that cryptocurrencies can be seen no more than a diversifier for most of the assets. For real estate and S&P500 it is confirmed to be a weak hedge, while positive and upward sloping dynamic conditional correlations with gold obtained in COVID-19 period needs to be further investigated.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
POVEZANOST RADA
Projekti:
IP-2019-04-7816 - Izazovi alternativnih oblika ulaganja (CRYPRO) (Aljinović, Zdravka, HRZZ - 2019-04) ( CroRIS)
Ustanove:
Ekonomski fakultet, Split
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Social Science Citation Index (SSCI)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
