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Cryptocurrency Rollercoaster: Volati...

Santos, Mariana Isabel Jinga Serodio,

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Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events // Mariana Isabel Jinga Serodio Santos.
作者:	Santos, Mariana Isabel Jinga Serodio,
面頁冊數:	1 electronic resource (35 pages)
附註:	Source: Masters Abstracts International, Volume: 86-02.
Contained By:	Masters Abstracts International86-02.
標題:	Skewness. -
電子資源:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31213210
ISBN:	9798383893470

Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events /
Santos, Mariana Isabel Jinga Serodio,

Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events /Mariana Isabel Jinga Serodio Santos. - 1 electronic resource (35 pages)

Source: Masters Abstracts International, Volume: 86-02.

Cryptocurrencies have gained considerable attention in financial research in recent years. This investigation focused on analysing the volatility dynamics and the impact of both positive and negative events across cryptocurrency markets, high-market and low-market. Employing the bivariate BEKK-MGARCH model, the research aims to identify how cross-market volatility shocks and volatility transmissions range between these markets. The analysis of individual cryptocurrency markets reveals a price volatility dependency on their historical shocks and volatility. Based on the findings, most of the cryptocurrency pairs exhibit uni-directional transmission, either in terms of shock impact or volatility effects. Notably, there is a stronger indication of volatility transmission from high-market to low-market cryptocurrencies, as opposed to the reverse direction. This implies that the performance of high-market cryptocurrencies exerts influence, either positively or negatively, on low-market. The study also highlights the existence of time-varying conditional correlations, mostly demonstrating a positive relationship. Moreover, the research integrates positive and negative events into the assessment, observing that within the event study conducted on price returns of cryptocurrencies over an eleven-day event window (-5,+5), negative events significantly have more impact on cryptocurrencies. These findings hold valuable implications for investors, particularly highlighting the importance of considering negative cryptocurrency-related events and taking into account the influence of the main digital currencies in the whole cryptocurrency market, serving as a precautionary measure to mitigate potential financial losses.

English

ISBN: 9798383893470Subjects--Topical Terms:

3698925
Skewness.

Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events /
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