Results 31 to 40 of about 312 (108)

How Tether Depegging Affects Cryptocurrency Returns

Accounting &Finance, Volume 66, Issue 2, Page 1101-1129, June 2026.
ABSTRACT This paper examines the relationship between Tether depegging events and the returns of ten major cryptocurrencies from November 2017 to November 2024. We distinguish between upward and downward deviations from the Tether peg, identifying these events as threshold exceedances based on historical prices, using both constant parameter and ...
Sean Foley, Seung Ah Lee, George Milunovich   +2 more
wiley   +1 more source

How Regulation and Global Standing Shape Stock Market Co‐Movements: A G20 Panel Study

International Review of Finance, Volume 26, Issue 2, June 2026.
ABSTRACT Motivated by post‐2020 fragmentation and underexplored institutional‐geopolitical drivers, we examine how regulatory quality (RQ) and global power (GP) shape stock‐market co‐movements across 17 G20 economies. We estimate time‐varying correlations via ADCC‐GARCH, construct a scaled correlation index, and apply panel ARDL. We find that higher RQ
Sama Haddad, Rakesh Gupta, E. A. Selvanathan, Saroja Selvanathan, Tarlok Singh   +4 more
wiley   +1 more source

Return and volatility spillover between cryptocurrencies, oil price and stock market in GCC countries

Cogent Economics & Finance
This study examines the news impact, persistence and asymmetric effects of stock, oil and cryptocurrency markets in Gulf Cooperation Council (GCC) countries. The diagonal BEKK method is applied to the daily trading prices of three major cryptocurrencies,
Hanan Haider Ali, Sumathi Kumaraswamy, Sara Al Balooshi, Yomna Abdulla   +3 more
doaj   +1 more source

Investigating the Hedging Capability of Cryptocurrencies in the Gold Coin and Stock Markets in Iran [PDF]

تحقیقات مالی
Objective Using cryptocurrencies to hedge against the risk of various types of assets can be considered a useful feature in cryptocurrency investment. In recent years, investment in cryptocurrencies has become more common, and many people have allocated ...
Raziyeh Eskandari, Hossein Panahian, Rasol Eskandari, Hasan Ghodrati   +3 more
doaj   +1 more source

Informational Efficiency in Cryptocurrency Markets: A Bibliometric and Thematic Literature Review (2015–2024)

Journal of Economic Surveys, Volume 40, Issue 1, Page 443-468, February 2026.
ABSTRACT Cryptocurrency markets are known for their wide price fluctuations, lack of central control, and fast‐paced development. These characteristics present serious challenges to traditional theories about how markets work and how prices reflect available information.
Giulia Fantini, Joy Jia, Chiara Oldani
wiley   +1 more source

An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors

International Journal of Financial Studies, 2017
It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent ...
Chia-Lin Chang, Michael McAleer, Chien-Hsun Wang   +2 more
doaj   +1 more source

Price and Volatility Transmission From International to Domestic Food and Fertilizer Markets in Central America

Agricultural Economics, Volume 57, Issue 1, January 2026.
ABSTRACT Recent global shocks have triggered sharp spikes in international food and fertilizer prices, raising concerns about their domestic impacts. This study examines the extent to which international price levels and volatility are transmitted to domestic food and fertilizer markets in seven Central American countries.
Manuel A. Hernandez, Francisco Ceballos, Maria Lucia Berrospi, Viviana M. E. Perego, Melissa Brown, Elena Mora Lopez   +5 more
wiley   +1 more source

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models [PDF]

The management and monitoring of very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations in the class of multivariate GARCH models are BEKK ...
Caporin, M., McAleer, M.J.
core   +1 more source

Examining Oil Prices for Chaos, Entropy, Fractionality and Complexity, and Modeling the Impacts of Economic Policy Uncertainty and Geopolitical Risks: GARCH–MIDAS–LSTM Approach

International Journal of Energy Research, Volume 2026, Issue 1, 2026.
As the leading energy source, oil price volatility has crucial effects in energy markets, and geopolitical risks (GPRs) and economic policy uncertainties contribute to its volatility. Further, chaos, long‐range dependence, fractionality, and complexity significantly reduce modeling and forecast performances.
Özgür Ömer Ersin, Melike Bildirici, Rajashik Paul   +2 more
wiley   +1 more source

Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China

Energies, 2019
The main purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets.
Chia-Lin Chang, Michael McAleer, Jiarong Tian   +2 more
doaj   +1 more source