Relation Between Digital Currencies and Other Financial Markets: A Non-Linear and Multivariate Analysis

被引：0

作者：

Sah, Abhishek ^{[1
]}

Patra, Biswajit ^{[1
]}

机构：

[1] IISER Bhopal, Dept Econ Sci, Bhopal, India

来源：

ASIA-PACIFIC FINANCIAL MARKETS | 2024年

关键词：

Cryptocurrency; Wavelet coherence; NARDL; Asymmetry; Multiscale; TIME-SERIES; SAFE HAVENS; BITCOIN; CRYPTOCURRENCIES; VOLATILITY; RETURNS; HEDGE; OIL; INEFFICIENCY; STOCKS;

D O I：

10.1007/s10690-024-09466-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study investigates the relationship between digital currency and broad financial markets covering equities, currencies, bonds, crude oil, and gold. It uses the Non-linear Autoregressive Distributed Lag model and wavelet coherence. The results demonstrate some relationships between digital currencies and other financial assets, with some evidence of asymmetry and a lead-lag relationship that is mostly significant at the medium timescales. The results provide useful insights for various market participants.

引用

页数：27

共 50 条

[1] What's non-linear in financial markets?
Harre, Michael
Bossomaier, Terry
[J]. PROCEEDINGS OF THE 16TH IASTED INTERNATIONAL CONFERENCE ON APPLIED SIMULATION AND MODELLING, 2007, : 469 - 473
[2] Non-linear correlation analysis in financial markets using hierarchical clustering
Salgado-Hernandez, J. E.
Vyas, Manan
[J]. JOURNAL OF PHYSICS COMMUNICATIONS, 2023, 7 (05):
[3] Finding Sentiment in Noise: Non-linear Relationships Between Sentiment and Financial Markets
Zhao, Zeyan
Kelly, Stephen
Ahmad, Khurshid
[J]. INTELLIGENT DATA ENGINEERING AND AUTOMATED LEARNING - IDEAL 2017, 2017, 10585 : 580 - 591
[4] The non-linear relationship between financial access and domestic savings: the case of emerging markets
Emara, Noha
Kasa, Hicran
[J]. APPLIED ECONOMICS, 2021, 53 (03) : 345 - 363
[5] The Effects of Central Bank Digital Currencies News on Financial Markets
Wang, Yizhi
Lucey, Brian M.
Vigne, Samuel A.
Yarovaya, Larisa
[J]. TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE, 2022, 180
[6] Simultaneity and non-linear variability in financial markets: Simulation and forecasting
Reikard, Gordon E.
[J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2006, 22 (04) : 371 - 383
[7] Digital financial inclusion and carbon neutrality: Evidence from non-linear analysis
Lee, Chien -Chiang
Wang, Fuhao
Lou, Runchi
[J]. RESOURCES POLICY, 2022, 79
[8] Multivariate meta-analysis for non-linear and other multi-parameter associations
Gasparrini, A.
Armstrong, B.
Kenward, M. G.
[J]. STATISTICS IN MEDICINE, 2012, 31 (29) : 3821 - 3839
[9] ANALYSIS OF A NON-LINEAR DYNAMIC FINANCIAL SYSTEM
Novotna, Veronika
Skapa, Stanislav
Neuwirth, Bernard
[J]. PROCEEDINGS OF THE 13TH INTERNATIONAL MANAGEMENT CONFERENCE: MANAGEMENT STRATEGIES FOR HIGH PERFORMANCE (IMC 2019), 2019, : 288 - 297
[10] Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets
Achraf Ghorbel
Wajdi Frikha
Yasmine Snene Manzli
[J]. Eurasian Economic Review, 2022, 12 : 387 - 425

← 1 2 3 4 5 →