In the context of the debate on the role of cryptocurrencies in the economy as well as their dynamics and forecasting,this brief study analyzes the predictability of Bitcoin volume and returns using Google search valu...In the context of the debate on the role of cryptocurrencies in the economy as well as their dynamics and forecasting,this brief study analyzes the predictability of Bitcoin volume and returns using Google search values.We employed a rich set of established empirical approaches,including a VAR framework,a copulas approach,and non-parametric drawings,to capture a dependence structure.Using a weekly dataset from 2013 to 2017,our key results suggest that the frequency of Google searches leads to positive returns and a surge in Bitcoin trading volume.Shocks to search values have a positive effect,which persisted for at least a week.Our findings contribute to the debate on cryptocurrencies/Bitcoins and have profound implications in terms of understanding their dynamics,which are of special interest to investors and economic policymakers.展开更多
This paper investigates the impact of economic policy uncertainty(EPU)on the crash risk of US stock market during the COVID-19 pandemic.To this end,we use the GARCHS(GARCH with skewness)model to estimate daily skewnes...This paper investigates the impact of economic policy uncertainty(EPU)on the crash risk of US stock market during the COVID-19 pandemic.To this end,we use the GARCHS(GARCH with skewness)model to estimate daily skewness as a proxy for the stock market crash risk.The empirical results show the significantly negative correlation between EPU and stock market crash risk,indicating the aggravation of EPU increase the crash risk.Moreover,the negative correlation gets stronger after the global COVID-19 outbreak,which shows the crash risk of the US stock market will be more affected by EPU during the epidemic.展开更多
This study contributes a rich set of quantitative methodologies including a nonparametric approach(Chi-plots and K-plots)as well as copulas(traditional and timevarying with Student’s t-copulas)to the existing literat...This study contributes a rich set of quantitative methodologies including a nonparametric approach(Chi-plots and K-plots)as well as copulas(traditional and timevarying with Student’s t-copulas)to the existing literature in terms of determining the dependence structure in ASEAN stock markets.Drawing on the emerging ASEAN equity returns of six countries from January 2001 to December 2017,we found that Student’s t-copulas under time-varying approach is the most appropriate approach to explain these co-movements.Among all research return pairs,the dependence between Vietnam and other ASEAN equity indices has the lowest value.Meanwhile,all couples show left-and right-tail dependence by each pair for pre-and postfinancial shocks.Hence,diversification across these pairs of equity markets from ASEAN is still adequate for international investors,though it might trigger contagion risks.展开更多
文摘In the context of the debate on the role of cryptocurrencies in the economy as well as their dynamics and forecasting,this brief study analyzes the predictability of Bitcoin volume and returns using Google search values.We employed a rich set of established empirical approaches,including a VAR framework,a copulas approach,and non-parametric drawings,to capture a dependence structure.Using a weekly dataset from 2013 to 2017,our key results suggest that the frequency of Google searches leads to positive returns and a surge in Bitcoin trading volume.Shocks to search values have a positive effect,which persisted for at least a week.Our findings contribute to the debate on cryptocurrencies/Bitcoins and have profound implications in terms of understanding their dynamics,which are of special interest to investors and economic policymakers.
基金This research was supported by the National Natural Science Foundation of China(71861008,72063005,U1811462,71532009)the Natural Science Foundation of Hainan Province(718QN221,2019RC151)the Scientific Research Foundation of Hainan University(kyqd(sk)1809,kyqd1634).
文摘This paper investigates the impact of economic policy uncertainty(EPU)on the crash risk of US stock market during the COVID-19 pandemic.To this end,we use the GARCHS(GARCH with skewness)model to estimate daily skewness as a proxy for the stock market crash risk.The empirical results show the significantly negative correlation between EPU and stock market crash risk,indicating the aggravation of EPU increase the crash risk.Moreover,the negative correlation gets stronger after the global COVID-19 outbreak,which shows the crash risk of the US stock market will be more affected by EPU during the epidemic.
基金This research is fully funded by the University of Economics,Ho Chi Minh City,Vietnam.
文摘This study contributes a rich set of quantitative methodologies including a nonparametric approach(Chi-plots and K-plots)as well as copulas(traditional and timevarying with Student’s t-copulas)to the existing literature in terms of determining the dependence structure in ASEAN stock markets.Drawing on the emerging ASEAN equity returns of six countries from January 2001 to December 2017,we found that Student’s t-copulas under time-varying approach is the most appropriate approach to explain these co-movements.Among all research return pairs,the dependence between Vietnam and other ASEAN equity indices has the lowest value.Meanwhile,all couples show left-and right-tail dependence by each pair for pre-and postfinancial shocks.Hence,diversification across these pairs of equity markets from ASEAN is still adequate for international investors,though it might trigger contagion risks.
