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Cryptocurrencies’ Time to Shine in the World | ||
| Iranian Economic Review | ||
| دوره 27، شماره 4، اسفند 2023، صفحه 1154-1198 اصل مقاله (3.96 M) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22059/ier.2023.324788.1007172 | ||
| نویسندگان | ||
| Sana Braïek* 1؛ Ahmed Jeribi2 | ||
| 1Department of Economics and Quantitative Methods, University of Sousse, Laboratory Research for Economy, Management and Quantitative Finance, Sousse, Tunisia | ||
| 2Department of Finance, Faculty of Economics and Management of Mahdia, Hiboun, Tunisia | ||
| چکیده | ||
| Using the time-varying copula, we investigate the dynamic dependence between developed and BRICS stock market indices, digital assets, oil, and gold prices for January 2, 2016 to March 31, 2020. Our findings reveal that cryptocurrencies are considered hedge and diversifier assets before the 2020 global pandemic. Dash, Bitcoin, Monero, and Ripple may serve as good protectors against extreme stock markets’ co-movements during the COVID-19 outbreak in many countries. Risks among oil markets cannot be hedged by the kind of cryptocurrencies. In addition, the dynamic dependence between cryptocurrencies and Gold follows the same trend except for a couple of Gold-Dash. These results have important implications for investors and market participants to track the progress of the different safe-haven instruments. Thus, portfolio managers may take into account the few eligible cryptocurrencies for inclusion in their portfolios. Speculators in stock and cryptocurrency markets may use a spread technique to boost their portfolio return. | ||
| کلیدواژهها | ||
| Developed and BRICS Stock Markets؛ COVID-19 Pandemic؛ Gold؛ Digital Assets؛ VIX؛ WTI؛ C-Vine Copula | ||
| مراجع | ||
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