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Iranian Economic Review، جلد ۲۷، شماره ۴، صفحات ۱۱۵۴-۱۱۹۸
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عنوان انگلیسی Cryptocurrencies’ Time to Shine in the World
چکیده انگلیسی مقاله Using the time-varying copula, we investigate the dynamic dependence between developed and BRICS stock market indices, digital assets, oil, and gold prices for January 2, 2016 to March 31, 2020. Our findings reveal that cryptocurrencies are considered hedge and diversifier assets before the 2020 global pandemic. Dash, Bitcoin, Monero, and Ripple may serve as good protectors against extreme stock markets’ co-movements during the COVID-19 outbreak in many countries. Risks among oil markets cannot be hedged by the kind of cryptocurrencies. In addition, the dynamic dependence between cryptocurrencies and Gold follows the same trend except for a couple of Gold-Dash. These results have important implications for investors and market participants to track the progress of the different safe-haven instruments. Thus, portfolio managers may take into account the few eligible cryptocurrencies for inclusion in their portfolios. Speculators in stock and cryptocurrency markets may use a spread technique to boost their portfolio return.
کلیدواژه‌های انگلیسی مقاله Developed and BRICS Stock Markets, Covid-19 pandemic, Gold, Digital Assets, VIX, WTI, C-Vine Copula
نویسندگان مقاله Sana Braïek |
Department of Economics and Quantitative Methods, University of Sousse, Laboratory Research for Economy, Management and Quantitative Finance, Sousse, Tunisia

Ahmed Jeribi |
Department of Finance, Faculty of Economics and Management of Mahdia, Hiboun, Tunisia

نشانی اینترنتی https://ier.ut.ac.ir/article_94930_236956ca52f2196f2f9a42451d862311.pdf
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