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این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۱ دارای ۲۳ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی و بخشی از ترجمه فارسی مقاله موجود می باشد.
کد محصول: H696
سال نشر: ۲۰۲۱
نام ناشر (پایگاه داده): الزویر
نام مجله: North American Journal of Economics and Finance
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۲۳ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۱ : واکنش بازارهای سهام به نوسانات صعودی و نزولی بیت کوین: تجزیه و تحلیل کمی
عنوان کامل انگلیسی:
Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis
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Abstract
We investigate how sensitive developed and emerging equity markets are to volatility dynamics of Bitcoin during tranquil, bear, and bull market regimes. Intraday price fluctuations of Bitcoin are represented by three measures of realized volatility, viz. total variance, upside semivariance, and downside semivariance. Our empirical analysis relies on a quantile regression framework, after orthogonalizing raw returns with respect to an array of relevant global factors and accounting for structural shifts in the series. The results suggest that developed-market returns are positively related to the realized variance proxy across various market conditions, while emerging-market returns are positively (negatively) correlated with realized variance during bear (normal and bull) market periods. The upside (downside) component of realized variance has a negative (positive) influence on returns of either market category, and the dependence structure is highly asymmetric across the return distribution. Additionally, we document that developed and emerging markets are more sensitive to downside volatility than to upside volatility when they enter tranquil or bull territory. Our results offer practical implications for policymakers and investors.
Keywords: Cryptocurrency markets, Bitcoin, Realized volatility measures, Asymmetry, Quantile regression
۱.Introduction
In recent decades, the globalization of traditional financial markets (e.g., equities, bonds, and currencies) has gained much momentum, as a result of the gradual removal of trade barriers and foreign capital flow restrictions, coupled with vast developments in the scale and scope of information technology in many parts of the world. This phenomenon has brought a wide variety of advantages and opportunities to investors, corporations, and national economies. Despite its strategic benefits, global financial integration has frequently been associated with extraordinary volatility spillover and contagion effects (Forbes, 2004). Interdependence of asset markets tends to heighten the vulnerability of investors to episodes of systemic risk arising from both domestic and global factors. There is a large body of literature (e.g., (Beine, Cosma, & Vermeulen, 2010; Bekaert, Harvey, & Ng, 2005; Izquierdo & Lafuente, 2004; Mollah, Quoreshi, & Zafirov, 2016; Sheng & Tu, 2000) casting doubt on the viability of cross-border diversification, particularly during bear market conditions wherein risk diversification benefits are needed most. In fact, elevated levels of cross-market correlations in turbulent times are typically likely to add to portfolio risk and reduce diversification gains, thus spurring investors to search afresh for alternative investment vehicles with safe-haven and hedge characteristics…
۶.Summary and concluding remarks
During the last decade or so, cryptocurrencies, such as Bitcoin, Litecoin, Ethereum, and Monero, have emerged rapidly from being the realm of a small tribe of enthusiasts to a worldwide phenomenon attracting the interest of both academic and professional communities on an almost unprecedented scale. Among the tremendous range of cryptocurrencies that exist, Bitcoin seems to be the most popular and widely traded digital asset. In this study, we investigate whether, and to what extent, stock prices are sensitive to volatility dynamics of Bitcoin in normal, bear, and bull markets. To provide comprehensive insights, we perform the empirical analysis within the separate contexts of developed and emerging markets. Our investigation includes three procedures. First, we purge both developed- and emerging-market raw returns of the possible effects of an array of global factors. Second, we subject filtered stock returns and measures of realized volatility (i.e., total variance, upside semivariance, and downside semivariance) to the minimum Lagrange Multiplier (LM) unit root test, which considers the possibility of structural breaks in the DGP of the series. Third, we look into the sensitivity of the filtered stock returns to volatility dynamics, utilizing a quantile regression approach…