Do financial volatilities mitigate the risk of cryptocurrency indexes?

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dc.contributor.authorNaeem, Muhammad Abubakr
dc.contributor.authorLucey, Brian M.
dc.contributor.authorKarim, Sitara
dc.contributor.authorGhafoor, Abdul
dc.date.accessioned2024-05-30T07:00:01Z
dc.date.available2024-05-30T07:00:01Z
dc.date.issued2022-12
dc.descriptionRisk-averse investors generally pursue those investments which offer greater diversification, low-risk, and high profitability prospects. Cryptocurrencies have experienced tremendous growth with a market capitalization of USD 1.99 Trillion in 2022 compared to USD 302 Billion in 20191.
dc.description.abstractCryptocurrencies are renowned for their extreme volatilities, while financial volatilities exhibit inherent uncertainty in stock, oil, gold, and currency markets. Given these concerns, the current study endeavors to answer the question of whether financial volatilities can mitigate the risk of cryptocurrency indexes. We employ the time-varying parameters vector autoregression approach and find distinct spillover patterns between financial volatilities and cryptocurrency indexes. In this way, we stress the diversification benefits of financial volatilities to mitigate the risk of cryptocurrency indexes. Time-varying trends demonstrated extreme risk spillovers during turmoil periods. We outlined useful implications for policymakers, financial market participants, investors, and portfolio managers. Keywords: Cryptocurrency Indexes, Financial Volatilities, Risk Mitigation, TVP-VARen
dc.identifier.citationNaeem, M. A., Lucey, B. M., Karim, S., & Ghafoor, A. (2022). Do financial volatilities mitigate the risk of cryptocurrency indexes?. Finance Research Letters, 50, 103206.
dc.identifier.doihttps://doi.org/10.1016/j.frl.2022.103206
dc.identifier.urihttps://dspace.adu.ac.ae/handle/1/5522
dc.language.isoen
dc.publisherElsevier
dc.titleDo financial volatilities mitigate the risk of cryptocurrency indexes?
dc.typeArticle

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