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Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective

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  1. Karimi, Parinaz & Mirzaee Ghazani, Majid & Ebrahimi, Seyed Babak, 2023. "Analyzing spillover effects of selected cryptocurrencies on gold and brent crude oil under COVID-19 pandemic: Evidence from GJR-GARCH and EVT copula methods," Resources Policy, Elsevier, vol. 85(PB).
  2. Khalfaoui, Rabeh & Tiwari, Aviral Kumar & Kablan, Sandrine & Hammoudeh, Shawkat, 2021. "Interdependence and lead-lag relationships between the oil price and metal markets: Fresh insights from the wavelet and quantile coherency approaches," Energy Economics, Elsevier, vol. 101(C).
  3. Susovon Jana & Tarak N. Sahu, 2023. "Is the cryptocurrency market a hedge against stock market risk? A Wavelet and GARCH approach," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 52(3), November.
  4. Bejaoui, Azza & Frikha, Wajdi & Jeribi, Ahmed & Bariviera, Aurelio F., 2023. "Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
  5. Zhang, Pengcheng & Xu, Kunpeng & Qi, Jiayin, 2023. "The impact of regulation on cryptocurrency market volatility in the context of the COVID-19 pandemic — evidence from China," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 222-246.
  6. Jiang, Yonghong & Wu, Lanxin & Tian, Gengyu & Nie, He, 2021. "Do cryptocurrencies hedge against EPU and the equity market volatility during COVID-19? – New evidence from quantile coherency analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  7. Salah Uddin, Gazi & Lucey, Brian & Rahman, Md Lutfur & Stenvall, David, 2024. "Quantile coherency across bonds, commodities, currencies, and equities," Journal of Commodity Markets, Elsevier, vol. 33(C).
  8. Hongjun Zeng & Abdullahi D. Ahmed, 2022. "Market integration and volatility spillover across major East Asian stock and Bitcoin markets: an empirical assessment," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 19(4), pages 772-802, August.
  9. Mensi, Walid & El Khoury, Rim & Ali, Syed Riaz Mahmood & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Quantile dependencies and connectedness between the gold and cryptocurrency markets: Effects of the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 65(C).
  10. Zhang, Chuanhai & Zhang, Zhengjun & Xu, Mengyu & Peng, Zhe, 2023. "Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns," Economic Modelling, Elsevier, vol. 119(C).
  11. Zhenghui Li & Zhiming Ao & Bin Mo, 2021. "Revisiting the Valuable Roles of Global Financial Assets for International Stock Markets: Quantile Coherence and Causality-in-Quantiles Approaches," Mathematics, MDPI, vol. 9(15), pages 1-18, July.
  12. Khalfaoui, Rabeh & Shahzad, Umer & Ghaemi Asl, Mahdi & Ben Jabeur, Sami, 2023. "Investigating the spillovers between energy, food, and agricultural commodity markets: New insights from the quantile coherency approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 63-80.
  13. Xie, Qichang & Luo, Chao & Cong, Xiaoping & Wang, Xu, 2024. "Volatility connectedness and its determinants of global energy stock markets," Economic Systems, Elsevier, vol. 48(2).
  14. Chen, Bin-xia & Sun, Yan-lin, 2024. "Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
  15. Kun Guo & Yuxin Kang & Qiang Ji & Dayong Zhang, 2024. "Cryptocurrencies under climate shocks: a dynamic network analysis of extreme risk spillovers," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-39, December.
  16. Balcilar, Mehmet & Ozdemir, Huseyin & Agan, Busra, 2022. "Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  17. Mustafa Tevfik Kartal & Mustafa Kevser & Fatih Ayhan, 2023. "Asymmetric effects of global factors on return of cryptocurrencies by novel nonlinear quantile approaches," Economic Change and Restructuring, Springer, vol. 56(3), pages 1515-1535, June.
  18. Wang, Suhui, 2023. "Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
  19. Jiang, Yonghong & Wang, Jieru & Ao, Zhiming & Wang, Yujou, 2022. "The relationship between green bonds and conventional financial markets: Evidence from quantile-on-quantile and quantile coherence approaches," Economic Modelling, Elsevier, vol. 116(C).
  20. Umar, Zaghum & Usman, Muhammad & Choi, Sun-Yong & Rice, John, 2023. "Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios," Research in International Business and Finance, Elsevier, vol. 65(C).
  21. Just, Małgorzata & Echaust, Krzysztof, 2024. "Cryptocurrencies against stock market risk: New insights into hedging effectiveness," Research in International Business and Finance, Elsevier, vol. 67(PA).
  22. Chen, Hao & Xu, Chao & Peng, Yun, 2022. "Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China," Resources Policy, Elsevier, vol. 78(C).
  23. Riahi, Rabeb & Bennajma, Amel & Jahmane, Abderrahmane & Hammami, Helmi, 2024. "Investing in cryptocurrency before and during the COVID-19 crisis: Hedge, diversifier or safe haven?," Research in International Business and Finance, Elsevier, vol. 67(PB).
  24. Bojaj, Martin M. & Muhadinovic, Milica & Bracanovic, Andrej & Mihailovic, Andrej & Radulovic, Mladen & Jolicic, Ivan & Milosevic, Igor & Milacic, Veselin, 2022. "Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach," Economic Modelling, Elsevier, vol. 109(C).
  25. Echaust, Krzysztof & Just, Małgorzata & Kliber, Agata, 2024. "To hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk," International Review of Financial Analysis, Elsevier, vol. 94(C).
  26. Duppati, Geeta & Younes, Ben Zaied & Tiwari, Aviral Kumar & Hunjra, Ahmed Imran, 2023. "Time-varying effects of fuel prices on stock market returns during COVID-19 outbreak," Resources Policy, Elsevier, vol. 81(C).
  27. Li, Zhenghui & Mo, Bin & Nie, He, 2023. "Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 46-57.
  28. Wang, Zi-Xin & Liu, Bing-Yue & Fan, Ying, 2023. "Network connectedness between China's crude oil futures and sector stock indices," Energy Economics, Elsevier, vol. 125(C).
  29. Khalfaoui, Rabeh & Gozgor, Giray & Goodell, John W., 2023. "Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis," Finance Research Letters, Elsevier, vol. 52(C).
  30. Carlos Esparcia & Tarek Fakhfakh & Francisco Jareño & Achraf Ghorbel, 2024. "Dynamic DeFi-G7 stock markets interactions and their potential role in diversifying and hedging strategies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-26, December.
  31. Jaros{l}aw Kwapie'n & Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z, 2021. "Cryptocurrency Market Consolidation in 2020--2021," Papers 2112.06552, arXiv.org.
  32. Nuray Tosunoğlu & Hilal Abacı & Gizem Ateş & Neslihan Saygılı Akkaya, 2023. "Artificial neural network analysis of the day of the week anomaly in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-24, December.
  33. Kliber, Agata, 2022. "Looking for a safe haven against American stocks during COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  34. Jareño, Francisco & Yousaf, Imran, 2023. "Artificial intelligence-based tokens: Fresh evidence of connectedness with artificial intelligence-based equities," International Review of Financial Analysis, Elsevier, vol. 89(C).
  35. Jiang, Yonghong & Wang, Jieru & Lie, Jiayi & Mo, Bin, 2021. "Dynamic dependence nexus and causality of the renewable energy stock markets on the fossil energy markets," Energy, Elsevier, vol. 233(C).
  36. Karl Oton Rudolf & Samer Ajour El Zein & Nicola Jackman Lansdowne, 2021. "Bitcoin as an Investment and Hedge Alternative. A DCC MGARCH Model Analysis," Risks, MDPI, vol. 9(9), pages 1-22, August.
  37. Li, Zijian & Meng, Qiaoyu, 2022. "Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  38. Darehshiri, Mahsa & Ghaemi Asl, Mahdi & Babatunde Adekoya, Oluwasegun & Shahzad, Umer, 2022. "Cross-spectral coherence and dynamic connectedness among contactless digital payments and digital communities, enterprise collaboration, and virtual reality firms," Technological Forecasting and Social Change, Elsevier, vol. 181(C).
  39. Adedeji Daniel Gbadebo, 2023. "Dynamic Asymmetric Causality of Bitcoin’s Price-Volume Relation," SAGE Open, , vol. 13(4), pages 21582440231, December.
  40. Bhuvaneskumar Annamalaisamy & Sivakumar Vepur Jayaraman, 2024. "Do cryptocurrencies integrate with the indices of equity, sustainability, clean energy, and crude oil? A wavelet coherency approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3372-3392, July.
  41. Shafique Ur Rehman & Touqeer Ahmad & Wu Dash Desheng & Amirhossein Karamoozian, 2024. "Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches," Papers 2407.15766, arXiv.org.
  42. Majid Mirzaee Ghazani & Ali Akbar Momeni Malekshah & Reza Khosravi, 2024. "Analyzing time–frequency connectedness between cryptocurrencies, stock indices, and benchmark crude oils during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-28, December.
  43. Shahzad, Umer & Ghaemi Asl, Mahdi & Khalfaoui, Rabeh & Tedeschi, Marco, 2024. "Extreme contributions of conventional investments vis-à-vis Islamic ones to renewables," Renewable and Sustainable Energy Reviews, Elsevier, vol. 189(PB).
  44. Mo, Bin & Nie, He & Zhao, Rongjie, 2024. "Dynamic nonlinear effects of geopolitical risks on commodities: Fresh evidence from quantile methods," Energy, Elsevier, vol. 288(C).
  45. Cross, Jamie L. & Hou, Chenghan & Trinh, Kelly, 2021. "Returns, volatility and the cryptocurrency bubble of 2017–18," Economic Modelling, Elsevier, vol. 104(C).
  46. Barbu Teodora Cristina & Boitan Iustina Alina & Cepoi Cosmin-Octavian, 2022. "Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks," Economics and Business Review, Sciendo, vol. 8(2), pages 29-49, July.
  47. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2023. "Cryptocurrencies Are Becoming Part of the World Global Financial Market," Papers 2303.00495, arXiv.org.
  48. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  49. Susovon Jana & Tarak Nath Sahu, 2024. "Identifying Cryptocurrencies as Diversifying Assets and Safe Haven in the Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 925-944, December.
  50. Chen, Hao & Xu, Chao, 2022. "The impact of cryptocurrencies on China's carbon price variation during COVID-19: A quantile perspective," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
  51. Paeng, Seongcheol & Senteney, Dave & Yang, Taewon, 2024. "Spillover effects, lead and lag relationships, and stable coins time series," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 45-60.
  52. Cui, Tianxiang & Ding, Shusheng & Jin, Huan & Zhang, Yongmin, 2023. "Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach," Economic Modelling, Elsevier, vol. 119(C).
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