This study examines the volatility of certain cryptocurrencies and how they are influenced by the three highest capitalization digital currencies, namely the Bitcoin, the Ethereum and the Ripple. We use daily data for the period 1 January 2018–16 September 2018, which represents the bearish market of cryptocurrencies. The impact of the decline of these three cryptocurrencies on the returns of the other virtual currencies is examined with models of the ARCH and GARCH family, as well as the DCC-GARCH. The main conclusion of the study is that the majority of cryptocurrencies are complementary with Bitcoin, Ethereum and Ripple and that no hedging abilities exist among principal digital currencies in distressed times.

This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges. Specififcally, it refers to the period following the end of quantitative easing, which took place in 2014. Therefore, the data, on which the study is based, refer to the period from 24/10/2014 to 24/09/2018 and they are expressed in a weekly frequency. By employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the MorningStar. Their performance was measured using Sharpe and Treynor ratios as well as Jensen’s alpha and the betas and a/b measures. The results of the study indicate that the examined ETFs show selectivity skills and present bearish behaviour in relation to the market during QE-tapering.

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