scholarly journals INTER-MARKETS VOLATILITY SPILLOVER IN U.S. BITCOIN AND FINANCIAL MARKETS

2019 ◽  
Vol 20 (4) ◽  
pp. 694-714 ◽  
Author(s):  
Muhammad Owais Qarni ◽  
Saqib Gulzar ◽  
Syeda Tamkeen Fatima ◽  
Majid Jamal Khan ◽  
Khurram Shafi
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
Significant Risk ◽  
Time Varying ◽  
Volatility Spillover ◽  
Foreign Investors ◽  
Risk Hedging ◽  
Insignificant Effect ◽  
Asymmetry Measure ◽  
The U.S

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover Asymmetry Measure, and Barunik and Krehlik (2018) frequency connectedness methodologies are applied to investigate the time varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility spillover is also detected. The connectedness among the U.S. Bitcoin and financial markets is found to be concentrated at high frequency, suggesting that markets process information rapidly. Moreover, the turbulence in Bitcoin market will have insignificant effect on U.S. financial markets. This non-contagion nature of Bitcoin markets provides significant risk hedging and diversification benefits for domestic and foreign investors in the U.S.

scholarly journals On the hedging benefits of REITs: The role of risk aversion and market states

2021 ◽  
Vol 10 (2) ◽  
pp. 126-132
Author(s):  
Riza Demirer ◽  
Asli Yuksel ◽  
Aydin Yuksel
Keyword(s):  
Stock Market ◽  
Risk Aversion ◽  
Risk Reduction ◽  
Significant Risk ◽  
Time Varying ◽  
Hedging Strategy ◽  
Risk Return ◽  
Market Risks ◽  
The U.S

We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that REITs do not only offer significant risk reduction for passive portfolios, but also offer much improved risk-adjusted returns with the greatest benefits observed for Australia, Canada and the U.S. Overall, our findings suggest that time-varying risk aversion can be utilized to (i) establish effective hedges against stock market risks via positions in REITS, and (ii) improve the risk-return profile of passive portfolios.

scholarly journals African financial markets in a storm: Cryptocurrency safe havens during the COVID-19 pandemic

2021 ◽  
Vol 3 (2) ◽  
pp. 60-70
Author(s):  
Seyram Pearl Kumah ◽  
David Adjei Abbam ◽  
Ransford Armah ◽  
Evelyn Appiah-Kubi
Keyword(s):  
Financial Markets ◽  
Frequency Domain ◽  
Significant Risk ◽  
Spillover Effects ◽  
Commodity Markets ◽  
Time Varying ◽  
Medium Term ◽  
Bear Market ◽  
Daily Frequency ◽  
Contagion Risk

The COVID-19 pandemic provides the first widespread bear market conditions since the inception of cryptocurrencies. We test the haven properties of cryptocurrencies for African stocks and commodity markets in a pandemic implementing the frequency domain spillover index. Data spans 11th August 2015 to 28th August 2020 at a daily frequency. Findings show weak interconnectedness across markets suggesting non-contagion risk and that cryptocurrency are safe havens for African stocks and commodity indices from the medium-term. We find the major transmitters of spillover effects across markets to be time-varying and heterogeneous. This study provides significant risk diversification benefits for policymakers and investors in the African financial markets.

scholarly journals Inference for time-varying lead–lag relationships from ultra-high-frequency data

2021 ◽  
Author(s):  
Yuta Koike
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
High Frequency Data ◽  
Time Varying ◽  
Frequency Data ◽  
Statistical Methodology ◽  
Microstructure Noise ◽  
New Approach ◽  
Proposed Model ◽  
Derivative Products

AbstractA new approach for modeling lead–lag relationships in high-frequency financial markets is proposed. The model accommodates non-synchronous trading and market microstructure noise as well as intraday variations of lead–lag relationships, which are essential for empirical applications. A simple statistical methodology for analyzing the proposed model is presented, as well. The methodology is illustrated by an empirical study to detect lead–lag relationships between the S&P 500 index and its two derivative products.

scholarly journals Dynamic sentiment spillovers among crude oil, gold, and Bitcoin markets: Evidence from time and frequency domain analyses

PLoS ONE ◽  
2020 ◽  
Vol 15 (12) ◽  
pp. e0242515
Author(s):  
Xianfang Su ◽  
Yong Li
Keyword(s):  
Crude Oil ◽  
Frequency Domain ◽  
High Frequency ◽  
Spillover Effects ◽  
Time Varying ◽  
Volatility Spillover ◽  
Short Term ◽  
Time Frequency ◽  
Major Market ◽  
Frequency Components

This paper examines the sentiment spillovers among oil, gold, and Bitcoin markets by employing spillovers index methods in a time-frequency framework. We find that the total sentiment spillover among crude oil, gold and Bitcoin markets is time-varying and is greatly affected by major market events. The directional sentiment spillovers are also time-varying. On average, the Bitcoin market is the major transmitter of directional sentiment spillovers, whereas the crude oil and gold markets are the major receivers. In particular, the sentiment spillover effects are major created at high-frequency components, implying that the markets rapidly process the sentiment spillover effects and the shock is transmitted over the short-term. Moreover, we also find that the sentiment spillover effects differ significantly in term of intensity and direction when compared with return and volatility spillover effects. The present study has certain applications for investors and policymakers.

scholarly journals Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Boubekeur Baba ◽  
Güven Sevil
Keyword(s):  
Stock Returns ◽  
Negative Feedback ◽  
Positive Feedback ◽  
Positive Response ◽  
Time Varying ◽  
Economic Uncertainty ◽  
Foreign Investors ◽  
New Findings ◽  
Net Flows ◽  
Feedback Trading

AbstractThis study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new findings about foreign investors’ trading behaviors. First, we find evidence that positive feedback trading often appears during periods of high economic uncertainty, whereas negative feedback trading is exclusively observable during periods of low economic uncertainty. Second, the foreign investors’ feedback trading appears mostly to be well-timed and often leads the time-varying economic uncertainty except in periods of global crises. Third, lagged negative (positive) response of net flows to economic uncertainty is found to be coupled with lagged positive (negative) feedback trading. Fourth, the study documents an asymmetric response of foreign investors with regard to negative and positive shocks of economic uncertainty. Specifically, we find that they instantly turn to positive feedback trading after a negative contemporaneous response of net flows to shocks of economic uncertainty. In contrast, they move slowly toward negative feedback trading after a positive response of net flows to uncertainty shocks.

scholarly journals Coxiella burnetii seroprevalence and risk factors in sheep farmers and farm residents in The Netherlands

2013 ◽  
Vol 142 (6) ◽  
pp. 1231-1244 ◽  
Author(s):  
M. M. A. De LANGE ◽  
B. SCHIMMER ◽  
P. VELLEMA ◽  
J. L. A. HAUTVAST ◽  
P. M. SCHNEEBERGER ◽  
...  
Keyword(s):  
Risk Factors ◽  
The Netherlands ◽  
Coxiella Burnetii ◽  
High Frequency ◽  
Significant Risk ◽  
Infection Risk ◽  
Multivariate Logistic Regression ◽  
Dairy Sheep ◽  
Sheep Farm ◽  
Farm Residents

SUMMARYIn this study, Coxiella burnetii seroprevalence was assessed for dairy and non-dairy sheep farm residents in The Netherlands for 2009–2010. Risk factors for seropositivity were identified for non-dairy sheep farm residents. Participants completed farm-based and individual questionnaires. In addition, participants were tested for IgG and IgM C. burnetii antibodies using immunofluorescent assay. Risk factors were identified by univariate, multivariate logistic regression, and multivariate multilevel analyses. In dairy and non-dairy sheep farm residents, seroprevalence was 66·7% and 51·3%, respectively. Significant risk factors were cattle contact, high goat density near the farm, sheep supplied from two provinces, high frequency of refreshing stable bedding, farm started before 1990 and presence of the Blessumer breed. Most risk factors indicate current or past goat and cattle exposure, with limited factors involving sheep. Subtyping human, cattle, goat, and sheep C. burnetii strains might elucidate their role in the infection risk of sheep farm residents.

scholarly journals Frequency variations of gravity waves interacting with a time-varying tide

2013 ◽  
Vol 31 (10) ◽  
pp. 1731-1743 ◽  
Author(s):  
C. M. Huang ◽  
S. D. Zhang ◽  
F. Yi ◽  
K. M. Huang ◽  
Y. H. Zhang ◽  
...  
Keyword(s):  
Gravity Waves ◽  
High Frequency ◽  
Lower Atmosphere ◽  
Horizontal Wind ◽  
Frequency Variation ◽  
Time Varying ◽  
Transient Nature ◽  
Critical Layers ◽  
Favorable Conditions ◽  
Frequency Variations

Abstract. Using a nonlinear, 2-D time-dependent numerical model, we simulate the propagation of gravity waves (GWs) in a time-varying tide. Our simulations show that when a GW packet propagates in a time-varying tidal-wind environment, not only its intrinsic frequency but also its ground-based frequency would change significantly. The tidal horizontal-wind acceleration dominates the GW frequency variation. Positive (negative) accelerations induce frequency increases (decreases) with time. More interestingly, tidal-wind acceleration near the critical layers always causes the GW frequency to increase, which may partially explain the observations that high-frequency GW components are more dominant in the middle and upper atmosphere than in the lower atmosphere. The combination of the increased ground-based frequency of propagating GWs in a time-varying tidal-wind field and the transient nature of the critical layer induced by a time-varying tidal zonal wind creates favorable conditions for GWs to penetrate their originally expected critical layers. Consequently, GWs have an impact on the background atmosphere at much higher altitudes than expected, which indicates that the dynamical effects of tidal–GW interactions are more complicated than usually taken into account by GW parameterizations in global models.

scholarly journals What is a 'Real' Transaction? Infrastructures, relations and Spoofing in High-Frequency Trading

2016 ◽  
Author(s):  
Juan Pablo Pardo Guerra
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
High Frequency Trading ◽  
Market Behavior ◽  
Digital Platforms ◽  
Market Participants

Although an old and rare practice, spoofing has re-emerged as a subject ofintense debate within modern financial markets. An activity entailing thefraudulent creation of orders to buy and sell securities with the purposeof manipulating the market, spoofing highlights the multiple and complexmoral valences of contemporary, automated, finance. In this paper, I studyspoofing as an opportunity to understand markets and their relations ofexchange. In particular, by extending Weberian metaphors of markets asmoral and organizational communities, I examine how the courts and marketparticipants distinguish the ‘false’ transactions of spoofing from the‘real’ exchanges of 'normal' market behavior. Combining Marilyn Strathern’stheoretical discussion of the anthropological relation with recentliteratures on infrastructures and markets, I argue that the perceivedreality of transactions is a product of how novel forms of economicknowledge are able to make sense of ‘taken for granted’ behavioral patternswithin digital platforms of market action. The intent that constitutes‘real’ trades is therefore a product of how market participants, economicexperts and the courts interpret the operational underbelly of markets andthe relations that they produce.

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