Bitcoin and gold price returns: A quantile regression and NARDL analysis

Jareño, Francisco; González, María de la O; Tolentino, Marta; Sierra, Karen

doi:10.1016/j.resourpol.2020.101666

Cited by 109 publications

(91 citation statements)

References 47 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…This research focuses on the analysis of the connectedness between the Polish and the Spanish stock market returns with some relevant international stock market returns using an asymmetric nonlinear cointegration approach (NARDL) in order to capture both long-run and short-run asymmetries [12][13][14]47,48].…”

Section: Methodsmentioning

confidence: 99%

“…According to [12][13][14], among many others, previous financial literature usually uses techniques such as OLS, SUR, QR, cointegration and Granger causality, among others. Some of them estimate long-and short-run interactions, but they assume symmetric relations.…”

Section: Methodsmentioning

confidence: 99%

“…This methodology has been used in some previous studies. References [12][13][14] analyze the sensitivity of the Spanish stock market returns to variations in nominal interest rates and their main components (level, slope, and curvature), as well as study the connectedness between Bitcoin and gold price returns using the NARDL approach. Other authors such as References [42][43][44] focus on renewable and environmental sustainability issues to quantify the asymmetric relationship between sustainability-related variables and other macroeconomic variables through the using of the NARDL methodology.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Thus, to the best of our knowledge, our paper contributes to the previous literature by studying in depth the expected non-linear interdependencies between relevant international stock markets, focusing on the Polish and the Spanish stock market. To that end, this research applies a NARDL approach to estimate both long-and short-run asymmetries ( [12][13][14]45]), not only for the whole sample period, but also for different sub-periods. This methodology allows us to simultaneously check long-and short-run nonlinearities by estimating positive and negative partial sum decompositions of the regressors.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Second, unlike previous studies that use alternative methodologies to explore the interdependencies between international stock markets, this paper proposes to apply a NARDL methodology. In concrete, unlike most of the previous literature that analyzes the direction of the contagion effect between financial markets by using a GARCH framework, such as [10,11], to the best of our knowledge, our research is the first study that applies the NARDL approach to estimate both long-run and short-run asymmetries [12][13][14] between the Polish and the Spanish stock market returns and some other relevant and international stock market returns. Finally, for robustness, this study compares estimates in different stages of the economy.…”

Section: Introductionmentioning

confidence: 98%

See 4 more Smart Citations

Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case

2020

Self Cite

View full text Add to dashboard Cite

This research analyzes non-linear interdependencies between the Polish (WIG20) and the Spanish (IBEX 35) stock market returns with some other relevant international stock market returns, such as the German (DAX-30), the British (FTSE-100), the American (S&P 500) and the Chinese (SSE Composite) stock markets. In addition, this research focuses on the impact of the stage of the economy on these interdependencies, in concrete, on the influence of the 2008 Global Financial Crisis. To that end, we use a nonlinear autoregressive distributed lag (NARDL) approach in the sample period between January 1998 to December 2018. Our results show positive interdependencies between the Polish and the Spanish stock markets with the international reference stock markets analyzed in this research, as well as significant long-run relations between most of the stock markets. Furthermore, the Polish and the Spanish stock market returns may similarly react to positive and negative changes in international stock market returns, evidencing strong short-run asymmetry. In addition, both countries show great persistence in response to both positive and negative changes in stock market returns in the other mayor international markets. Finally, the NARDL model proposed in this research would show good explanatory power, mainly to changes in the international stock market returns, except for the Chinese market.

show abstract

Section: Methodsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 98%

See 3 more Smart Citations

Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case

2020

Self Cite

View full text Add to dashboard Cite

show abstract

The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility

Köse,

Yildirim,

Ünal

et al. 2024

Journal of Futures Markets

View full text Add to dashboard Cite

This study examines the Bitcoin price by taking into account global factors, including the Chicago Board Options Exchange's Market Volatility Index (VIX), the US dollar index, the gold price, the oil price, and Bitcoin price volatility. The analysis is conducted using the structural vector autoregression (SVAR) model. The variance decomposition findings revealed that the influence of the VIX on the Bitcoin price was initially restricted, but progressively intensified over time. Among the indicators, Bitcoin price volatility had the highest explanatory share in both daily and weekly data analysis. The impulse response functions demonstrated a statistically significant inverse relationship between the VIX and the Bitcoin price. Furthermore, the analysis revealed that the Bitcoin price was mostly impacted by its own volatility. This implies that investing in Bitcoin requires a certain level of risk‐taking.

show abstract

Exploring the research landscape of implied volatility index: A bibliometric analysis

Jain,

Mittal

2023

J Corp Accounting Finance

View full text Add to dashboard Cite

The purpose of this study is to present a comprehensive literature review on Implied Volatility (IV) and its significance for investment decisions. The study employs a combination of bibliometric information, qualitative synthesis, and citation analysis to provide an overview of the current research on IV. Additionally, the study maps the research field by identifying leading journals, authors, research centers, and publications. The findings of the study highlight the importance of IV both theoretically and practically, and the fragmented nature of existing knowledge. The comprehensive literature review conducted in this study contributes to the existing body of knowledge on IV. The research limitations of the study are due to the use of a single database for data extraction, which may have resulted in missing some relevant articles. It is suggested that future studies may use multiple databases to improve the comprehensiveness of the literature review.

show abstract

Bitcoin and gold price returns: A quantile regression and NARDL analysis

Cited by 109 publications

References 47 publications

Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case

Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case

The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility

Exploring the research landscape of implied volatility index: A bibliometric analysis

Contact Info

Product

Resources

About