1,721,003 research outputs found
Cryptocurrency uncertainty and volatility forecasting of precious metal futures markets
Full text linkSeveral common properties shared by cryptocurrencies and precious metals, such as safe haven, hedge and diversification for risk assets, have been widely discussed since Bitcoin was created in 2008. However, no studies have explored whether cryptocurrency market uncertainties can help to explain and forecast volatilities in precious metal markets. By using the GARCH-MIDAS model incorporating cryptocurrency policy and price uncertainty, as well as several other commonly used uncertainty measures, this paper compares the in-sample impacts and out-of-sample predictive abilities of these uncertainties on volatility forecasts of COMEX gold and silver futures markets. The in-sample results demonstrate the significant impacts of cryptocurrency uncertainty on the volatilities of precious metal futures markets, and the out-of-sample evidence further confirms the superior predictive power of cryptocurrency uncertainty on volatility forecasting of the precious metal market. Our conclusions are robust through various model evaluation approaches based not only on predicting errors but also on forecasting directions across different forecasting time horizons
Gold and Inflation(s) - A Time-Varying Relationship
Full text linkWhat is the relationship between the price of gold and inflation? How stable is it - over time and across measures of inflation? We examine this for three countries (the USA, the UK and Japan) over forty years and with a variety of measures of inflation and monetary liquidity. We apply a formal test for time variation and proceed to extract time varying cointegration relationships. Both formal and graphical evidence points to a break in the relationship(s) of gold and official inflation in the mid 1990s in the USA but to less clear results for the UK and Japan. However, gold seems to have offered a protection against an increase in money supply throughout nearly the entire past 40 year period in the US and the UK but failed to do so in Japan. Supporting previous findings we find evidence for a time-varying relationship in cointegration between gold and both predicted and realized inflation in nearly all cases. Contrasting multiple inflation indicators, we find evidence for the importance of money supply in the gold/inflation relationship
The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk?
No full textContinuous financing of illicit activities (drug and human trafficking, child abuse, cybercrimes) through Bitcoin nurtures the ethical risk of investors. Building on this argument, the current study investigates the extreme tail dependence between Bitcoin and Emerging Asian Islamic (EAI) markets. We report multiple tail-dependent copulas differing across turmoil periods for the whole sample period. Under the ethical-risk hypothesis and modern portfolio theory, our findings demonstrated stronger safe-haven properties of EAIs for Bitcoin to mitigate ethical risk, and higher diversification benefits are documented for both equally adjusted and optimal portfolios. We formulated useful implications for policymakers, governments, regulation authorities, ethical investors, and portfolio managers for policymaking and strategizing their investment portfolios
What is the optimal weight for gold in a portfolio?
No full textWe show that the statistical properties of gold are negatively correlated with equities and that
including gold in a portfolio will provide diversification benefits. As there is no consensus on
the proportion of gold that should be included in a strategic portfolio allocation we propose
a visual tool that associates a performance metric with a range of possible asset weighting
schemes—a Sharpe ratio response surface. This very surface shows that a target performance
metric can be achieved with a large number of different allocations. We further argue that
the rebalancing approach based on the surface closest to the benchmark surface under the
Hausdorrf distance metric should be selected. Using a data sample between 1990 and 2018,
we find that annual rebalancing with a 44-week lookback period achieves the minimum
distance from the benchmark surface
Bubbles all the way down? Detecting and date-stamping bubble behaviours in NFT and DeFi markets
Full text linkAmid surging market values and widespread regulatory discussion, NFT and DeFi markets are widely perceived as being simply speculative in nature. This paper detects the existence and dates of price bubbles in the NFT and DeFi markets by applying SADF and GSADF tests. We document that NFT and DeFi markets both exhibit speculative bubbles, with NFT bubbles being more recurrent and having higher average explosive magnitudes than DeFi bubbles. The price bubbles in the NFT and DeFi markets are highly correlated with market hype and with more general cryptocurrency market uncertainty. We do find periods where bubbles are not detected, suggesting that these markets do have some intrinsic value and should not be dismissed as simply bubbles
Investigating the Dynamics between Price Volatility, Price Discovery, and Criminality in Cryptocurrency Markets
Full text linkThis paper identifies several stylised facts relating to the volatility and price discovery process
from eight cryptocurrencies utilising an empirical analysis of intra-day trading data to uncover four
main results. First, cryptocurrencies exhibit weekend-volatility effects while intra-day volatility
is found to be influenced by international trading times, periods of substantial volatility in the
markets for oil, and GBP/USD and cybercrime events. Secondly, a thorough investigation of recent
cybercriminality identifies that cryptocurrency hacks are found to increase both the volatility of
the currency hacked and the correlations across the hacked currency and other cryptocurrencies.
Thirdly, hacks significantly reduce price discovery sourced within the hacked currency relative to
other cryptocurrencies. Finally, there are abnormal returns associated with the hacks observed
in the hours prior to the actual hacking event, which reverts to zero at the time of the public
announcement of the hack
The determinants of IPO withdrawal – Evidence from Europe
Full text linkWhy do companies not follow through with an IPO after filing for one? This question is investigated by examining common stock IPOs for the largest countries in Europe. We cover 80% of the Western European IPO market over the 2001–2015 period. We establish that the IPO phenomenon of withdrawal is a common feature of equity markets and identify key characteristics that influence the probability of withdrawal. Findings indicate that venture capital or private equity involvement, the presence of negative news, CEO duality, or the intent to retire debt increase the probability of IPO withdrawal. On the other hand, higher levels of corporate governance or trading volume decrease the pssrobability of IPO withdrawal. We argue that imminent agency conflicts and the lack of appropriate control mechanisms can force a company to withdraw from the IPO
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe 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
Full text link“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
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