Bitcoin, Fintech stocks and Asian Pacific equity markets: a dependence analysis with implications for portfolio management
Emmanuel Joel Aikins Abakah,
Nader Trabelsi,
Aviral Kumar Tiwari
et al.
Abstract:PurposeThis study aims to provide empirical evidence on the return and volatility spillover structures between Bitcoin, Fintech stocks and Asian-Pacific equity markets over time and during different market conditions, and their implications for portfolio management.Design/methodology/approachWe use Time-varying parameter vector autoregressive and quantile frequency connectedness approach models for the connectedness framework, in conjunction with Diebold and Yilmaz’s connectivity approach. Additionally, we use… Show more
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