1,721,089 research outputs found
The impact of ECB's Quantitative Easing on cryptocurrency markets during times of crisis
No full textIn this paper, we investigate non-linear linkages between Bitcoin and the unconventional monetary policies of the European Central Bank (ECB). In particular, we examine whether a low-interest rate environment resulting from QE indirectly encourages investors to move towards Bitcoin. Using a Bayesian VAR model with time-varying coefficients and stochastic volatility (TVP-BVAR-SV model), we compare Bitcoin's responses to the shadow rate shocks during the pre-and post-COVID-19 periods. Moreover, despite the high uncertainty and the low-interest rate environment, Bitcoin's response during the COVID-19 period reveals a steeper drop compared to the pre-COVID-19 period. That said, investors did not resort to Bitcoin for safety and higher returns. Our findings can be attributed to the unprecedented nature of the crisis, the investor reluctance and pessimism, and the changing behavior of Bitcoin, which is no longer perceived as a safe haven.</p
Google trends and cryptocurrencies: A nonparametric causality-in-quantiles analysis
No full textPurpose: This article aims to uncover the impact of Google Trends on cryptocurrency markets beyond Bitcoin during the time of increased attention to altcoins, especially during the COVID-19 pandemic. Design/methodology/approach: This paper analyses the nexus among the Google Trends and six cryptocurrencies, namely Bitcoin, New Economy Movement (NEM), Dash, Ethereum, Ripple and Litecoin by utilizing the causality-in-quantiles technique on data comprised of the years January 2016–March 2021. Findings: The findings show that Google Trends cause the Litecoin, Bitcoin, Ripple, Ethereum and NEM prices at majority of the quantiles except for Dash. Originality/value: The findings will help investors to develop more in-depth understanding of impact of Google Trends on cryptocurrency prices and build successful trading strategies in a more matured digital assets ecosystem.</p
Dynamic dependence and predictability between volume and return of Non-Fungible Tokens (NFTs): The roles of market factors and geopolitical risks
No full textWe examine the dependence between volume and returns for the NFT market and three sub-markets (Cryptokitties, Cryptopunks, and Decentraland) using both quantile cross-spectral coherency and quantile regression techniques. Results from both techniques show significant evidence of dependence between NFT return and volume. Dependence between volume and return is weakest in the Cryptopunks market. Similarly, quantile regression results show that during extreme market conditions, equity and gold markets uncertainty, business condition and term-spread are important predictors of Cryptokitties returns, while oil, equity and gold markets uncertainty and geopolitical risks significantly predict Cryptopunks and Decentraland markets returns. In all cases, increase in Bitcoin prices reduces NFT market returns.Green Open Access added to TU Delft Institutional Repository 'You share, we take care!' - Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.Economics of Technology and Innovatio
Essays on commodity pricing models
No full textCette thèse est composée de quatre essais de recherche originaux en économétrie des séries temporelles et finance empirique liés aux prix du pétrole, et aux matières premières. Le premier chapitre examine les forces motrices fondamentales de l'intégration boursière avec un accent particulier sur les principaux pays exportateurs de gaz. Nous mesurons l'intégration du marché en utilisant le prix du gaz comme source commune de risque, en plus des sources de risque mondiales, régionales et nationales sur la base d'une version conditionnelle du modèle de tarification des actifs financiers internationaux (ICAPM). Dans le deuxième chapitre, nous mesurons l'effet asymétrique des prix du pétrole brut sur les rendements des actions dans un modèle à changements de régimes dans le contexte des principaux pays exportateurs de pétrole. Dans le troisième chapitre, le CAPM-GARCH à changement de régime conditionnel, avec des bêtas variables dans le temps expliquant à la fois les marchés haussiers et baissiers, surpasse la version inconditionnelle (statique) du CAPM. Nos résultats mettent en lumière la suprématie du facteur de marché associée à la variation dans le temps dans l’explication des primes de risque sur les marchés énergétiques et financiers. Le quatrième chapitre analyse la transmission des chocs pendant la crise financière. Notre modèle factoriel intègre trois facteurs : le facteur du marché américain, le facteur du marché financier mondial, et le facteur du marché intérieur. Nous détectons comme canaux de transmission de crise l'exposition du secteur bancaire au niveau national aux États-Unis et au reste du monde, la croissance du crédit, et la taille des banques.This Ph.D. thesis is composed of four original research essays in time series econometrics and empirical finance related to oil prices, and commodities. The first chapter examines the fundamental driving forces of stock market integration with a particular focus on the main gas exporting countries. We measure market integration using gas price as a common source of risk, in addition to global, regional and national risk sources based on a conditional version of the International Financial Asset Pricing Model (ICAPM). In the second chapter, we measure the asymmetric effect of crude oil prices on stock returns in a regime-shift model in the context of major oil-exporting countries. In the third chapter, the conditional regime-change CAPM-GARCH, with time-varying betas explaining both bull and bear markets, outperforms the unconditional (static) version of the CAPM. Our results highlight the supremacy of the market factor associated with the variation over time in the explanation of risk premiums in the energy and financial markets. The fourth chapter analyzes the transmission of shocks during the financial crisis. Our factor model incorporates three factors: the US market factor, the global financial market factor, and the domestic market factor. We detect as crisis transmission channels the exposure of the banking sector at the national level to the United States and the rest of the world, credit growth, and the size of banks
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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