Please use this identifier to cite or link to this item: https://scholarhub.balamand.edu.lb/handle/uob/3579
Title: Volatility spillovers between cryptocurrencies and stocks markets : a multivariate garch approach
Authors: Atrib, Manal
Abdallah, Joumana
Advisors: Mardini, Patrick 
Subjects: Cryptocurrencies
Bitcoin
Dissertations, Academic
University of Balamand--Dissertations
Issue Date: 2018
Abstract: 
This paper examines the effect of digital currencies such as Ripple and Bitcoin volatility on other financial assets especially CAC40, S&P500, DAX, IBEX35 and NEFTY50. Our findings should be helpful for investors whose work depends on portfolio diversification to reduce risk. We scrutinize the volatility spillovers of Bitcoin and other stock market indices using Multivariate GARCH and its different specifications, BEKK and VECH. Our findings confirm the significant effect of Bitcoin volatility on the volatility of stock market indices especially for CAC40 and DAX. However, Ripple does not have the same effect of Bitcoin on stock market indices. In fact, the negative correlation of Ripple and stock market indices gives Ripple the privilege to be a hedging instrument to avoid risk, while Bitcoin acts as a speculative instrument.
Description: 
Includes bibliographical references (p. 51-53).
URI: https://scholarhub.balamand.edu.lb/handle/uob/3579
Ezproxy URL: Link to full text
Type: Project
Appears in Collections:UOB Theses and Projects

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