Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model

Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying

“…The second strand of the literature describes a weak relationship between Bitcoin and stock markets, so that Bitcoin may act as a hedge asset against the stock price movements ( Kliber et al, 2019 ; Kang et al, 2019 ; Klein et al, 2018 ; Feng et al, 2018 ; Bouri et al, 2017a , b ; Brière et al, 2015 ; Eisl et al, 2015 ; and Dyhrberg, 2015 ). Therefore, as argued by Tiwari et al (2019b) , the literature to this regard is not only immature but also not conclusive.…”

“… 7 The time-varying nature of the Bitcoin’s properties as a diversifier and hedge has also been studied by Tiwari et al (2019b) and Boako et al (2019) . …”

A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets

“…On the other hand, financial markets worldwide have been severely affected by the global pandemic of Covid-19 ( Al-Awadi et al, 2020 , Ali et al, 2020 , Godel, 2020 , Haroon and Rizvi, 2020 , Iqbal et al, 2020 , Sharif et al, 2020 , Zhang et al, 2020 ). In particular, the Covid-19 crisis has negatively impacted the potential role of cryptocurrencies as diversifying investments ( Liu, 2019 , Tiwari et al, 2019 , Conlon and McGee, 2020 , Gil-Alana et al, 2020 ). Hence, the study of the fiat currencies and cryptocurrencies dynamics through the Covid-19 bear market and initial recovery from it provides a unique way to investigate the economic impact of the pandemic in the important domain of the financial system and its stability as a whole.…”

Investigating the relationship between volatilities of cryptocurrencies and other financial assets

“…Most of the researches that studied volatility dynamics and correlations between Bitcoin and other assets have used multivariate GARCH models like BEKK-GARCH (Klein et al 2018 ; Corbet et al 2018 ), DCC-GARCH (Bouri et al 2017 ), or ADCC-GARCH (Kumar and Anandarao 2019 ; Gajardo et al 2018 ; Tiwari et al 2019 ). Most of the works focused on Bitcoin as the cryptocurrency market’s leader.…”

“…However, the associations between cryptocurrencies and conventional financial assets are negligible. Tiwari et al ( 2019 ) investigated time-differentiated correlations between the S&P 500 and six other cryptocurrencies. They suggested that cryptocurrencies are perceived to be a hedge against the risks of the S&P 500.…”