| bibtype |
J -
Journal Article
|
| ARLID |
0598958 |
| utime |
20241010095433.8 |
| mtime |
20241004235959.9 |
| SCOPUS |
85205421980 |
| DOI |
10.1016/j.intfin.2024.102062 |
| title
(primary) (eng) |
Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness |
| specification |
| page_count |
22 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0379526 |
| ISSN |
1042-4431 |
| title
|
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY |
| volume_id |
96 |
| publisher |
|
|
| keyword |
Volatility |
| keyword |
Dynamic connectedness |
| keyword |
Asymmetric effects |
| keyword |
Cryptocurrency |
| author
(primary) |
| ARLID |
cav_un_auth*0457462 |
| name1 |
Šíla |
| name2 |
Jan |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0312139 |
| name1 |
Kočenda |
| name2 |
Evžen |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0293468 |
| name1 |
Kukačka |
| name2 |
Jiří |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA23-06606S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0458718 |
|
| abstract
(eng) |
Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness dynamics of a representative set of eight major crypto assets. Methodologically, we decompose the measured volatility into positive and negative components and employ the time-varying parameters vector autoregression (TVP-VAR) framework to show distinct dynamics associated with market booms and downturns. Our findings indicate that crypto connectedness reflects important events and oscillates substantially while reaching lower limit values when compared to traditional financial markets. Periods of extremely high or low connectedness are clearly linked to specific events in the crypto market and macroeconomic or monetary history. Furthermore, existing asymmetry from good and bad volatility indicates that market downturns spill over substantially faster than comparable market surges. Overall, the connectedness dynamics are driven by a combination of both crypto (momentum, on-chain activity, off-chain activity) and legacy financial and economic (financial and economic uncertainty, and financial market performance) factors, while the asymmetry is more connected to the off-chain crypto activity and the combination of economic, financial, and monetary factors. In both the total connectedness and asymmetry modelling, these can serve as hands-on indicators to be further translated into specific portfolio re-balancing decisions, risk management, and regulatory frameworks. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50206 |
| reportyear |
2025 |
| num_of_auth |
4 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0356719 |
| confidential |
S |
| article_num |
102062 |
| mrcbC91 |
C |
| mrcbT16-e |
BUSINESSFINANCE|ECONOMICS |
| mrcbT16-j |
0.954 |
| mrcbT16-D |
Q3 |
| arlyear |
2024 |
| mrcbU14 |
85205421980 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
WOS |
| mrcbU63 |
cav_un_epca*0379526 JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 96 1 2024 1042-4431 1873-0612 Elsevier |
|