Modelling Asymmetric Volatility in the Crypto Currency and its Dynamic Relationship with Stock Market
Neenu C, T Mohamed Nishad, K. Muhammed Noufal

References:
[1] Abraham, Mathew. 2020. “Studying the Patterns and Long-Run Dynamics in Cryptocurrency Prices.” Journal of Corporate Accounting and Finance 31 (3): 98–113.
https://doi.org/10.1002/jcaf.22427.
[2] Adebola, Solarin Sakiru, Luis A. Gil-Alana, and Godfrey Madigu. 2019. “Gold Prices and the Cryptocurrencies: Evidence of Convergence and Cointegration.” Physica A: Statistical Mechanics and Its Applications 523:1227–36.
https://doi.org/10.1016/j.physa.2019.04.123.
[3] Al-Khazali, Osamah, Elie Bouri, and David Roubaud. 2018. “The Impact of Positive and Negative Macroeconomic News Surprises: Gold versus Bitcoin.” Economics Bulletin 38 (1): 373–82.
[4] Bouri, Elie, Luis A. Gil-Alana, Rangan Gupta, and David Roubaud. 2019. “Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks.” International Journal of Finance and Economics 24 (1): 412–26.
https://doi.org/10.1002/ijfe.1670.
[5] Canoz, Ismail, and Cuneyt Dirican. 2017. “THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH.” Pressacademia 4 (4): 377–92.
https://doi.org/10.17261/pressacademia.2017.748.
[6] Corbet, Shaen, Andrew Meegan, Charles Larkin, Brian Lucey, and Larisa Yarovaya. 2018. “Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets.” Economics Letters 165 (April):28–34.
https://doi.org/10.1016/j.econlet.2018.01.004.
[7] Ghorbel, Achraf, Wajdi Frikha, and Yasmine Snene Manzli. 2022. “Testing for Asymmetric Non-Linear Short- and Long-Run Relationships between Crypto-Currencies and Stock Markets.” Eurasian Economic Review 12 (3): 387–425.
https://doi.org/10.1007/s40822-022-00206-8.
[8] Gil-Alana, Luis Alberiko, Emmanuel Joel Aikins Abakah, and María Fátima Romero Rojo. 2020. “Cryptocurrencies and Stock Market Indices. Are They Related?” Research in International Business and Finance 51.
https://doi.org/10.1016/j.ribaf.2019.101063.
[9] Göttfert, Joline. 2019. “Cointegration among Cryptocurrencies.” Master Thesis.
[10] Granger, C. W.J. 1986. “Developments in the Study of Cointegrated Economic Variables.” Oxford Bulletin of Economics and Statistics 48 (3): 213–28.
https://doi.org/10.1111/j.1468-0084.1986.mp48003002.x.
[11] Johansen, Søren. 1988. “Statistical Analysis of Cointegration Vectors.” Journal of Economic Dynamics and Control 12 (2–3): 231–54.
https://doi.org/10.1016/0165-1889(88)90041-3.
[12] Kostika, Eleftheria, and Nikiforos T. Laopodis. 2020. “Dynamic Linkages among Cryptocurrencies, Exchange Rates and Global Equity Markets.” Studies in Economics and Finance 37 (2): 243–65.
https://doi.org/10.1108/SEF-01-2019-0032.
[13] Koutmos, Dimitrios. 2018. “Return and Volatility Spillovers among Cryptocurrencies.” Economics Letters 173 (December):122–27. https://doi.org/10.1016/J.ECONLET.2018.10.004.
[14] Liu, Jinan, and Apostolos Serletis. 2019. “Volatility in the Cryptocurrency Market.” Open Economies Review 30 (4): 779–811.
https://doi.org/10.1007/S11079-019-09547-5.
[15] Robert F. ENGLE and Byung Sam YOO University of California, San Diego, CA 92093, USA. 2012. “Co-Integration and Error Correction?: Representation , Estimation ,” 55 (2): 251–76.
[16] Sajeev, Kavya Clanganthuruthil, and Mohd Afjal. 2022. “Contagion Effect of Cryptocurrency on the Securities Market: A Study of Bitcoin Volatility Using Diagonal BEKK and DCC GARCH Models.” SN Business & Economics 2 (6).
https://doi.org/10.1007/s43546-022-00219-0.
[17] Sami, Mina, and Wael Abdallah. 2021. “How Does the Cryptocurrency Market Affect the Stock Market Performance in the MENA Region?” Journal of Economic and Administrative Sciences 37 (4): 741–53.
https://doi.org/10.1108/jeas-07-2019-0078.
[18] Symitsi, Efthymia, and Konstantinos J. Chalvatzis. 2018. “Return, Volatility and Shock Spillovers of Bitcoin with Energy and Technology Companies.” Economics Letters 170:127–30.
https://doi.org/10.1016/j.econlet.2018.06.012.
[19] Teker, Dilek, Suat Teker, and Mustafa Ozyesil. 2019. “Determinants of Cryptocurrency Price Movements,” no. 2016, 29–34. https://doi.org/10.17758/heaig6.h1119510.
[20] Teker, Dilek, Suat Teker, and Mustafa Ozyesil. 2020 "Macroeconomic determinants of cryptocurrency volatility: Time series analysis." Journal of Business & Economic Policy 7, no. 1, 65-71.
[21] White, Reilly, Yorgos Marinakis, Nazrul Islam, and Steven Walsh. 2020. “Is Bitcoin a Currency, a Technology-Based Product, or Something Else?” Technological Forecasting and Social Change 151 (January 2019): 119877.
https://doi.org/10.1016/j.techfore.2019.119877.
[22] Yhlas SOVBETOV. 2018. “Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero.” Journal of Economics and Financial Analysis 2 (2): 1–27. https://doi.org/10.1991/jefa.v2i2.a16.
[23] Yi, Shuyue, Zishuang Xu, and Gang Jin Wang. 2018. “Volatility Connectedness in the Cryptocurrency Market: Is Bitcoin a Dominant Cryptocurrency?” International Review of Financial Analysis 60 (November):98–114.
https://doi.org/10.1016/J.IRFA.2018.08.012.
[24] Zhang, Yue Jun, Elie Bouri, Rangan Gupta, and Shu Jiao Ma. 2021. “Risk Spillover between Bitcoin and Conventional Financial Markets: An Expectile-Based Approach.” North American Journal of Economics and Finance 55 (xxxx): 101296.
https://doi.org/10.1016/j.najef.2020.101296.
|