金融科技股、加密货币和传统资产尾部风险动态的不对称、效率和风险溢出

IF 5.5 2区 经济学 Q1 BUSINESS, FINANCE
Mohammad Abdullah , Mohammad Ashraful Ferdous Chowdhury , G.M. Wali Ullah
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引用次数: 0

摘要

本研究考察了金融科技股票、加密货币和传统资产之间的不对称尾部风险动态、效率和互联性。首先,我们采用多重分形-非对称去趋势相互关联分析来检验所分析资产的相互关联模式和效率动态。研究结果揭示了相互关联的不对称性和多重分形的存在,突出了这些资产之间的非线性关系,并发现金融科技资产是最有效的。其次,我们利用时域分位数连通性方法来研究尾部风险连通性,从而深入了解网络的冲击传递和溢出效应。我们的分析确定了主要的风险传递者(金融科技股票)和接收者(债券),强调了资产的相互关联性。此外,研究还进行了双变量投资组合分析,考虑了短期和长期投资期限,以指导资产配置和对冲策略。我们的研究结果对促进明智的投资策略和提高金融市场的稳定性和弹性具有重要意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Asymmetric tail risk dynamics, efficiency and risk spillover among FinTech stocks, cryptocurrencies and traditional assets
This study inspects the asymmetric tail risk dynamics, efficiency, and interconnectedness among FinTech stocks, cryptocurrencies, and traditional assets. Firstly, we employ the Multifractal-Asymmetric Detrended Cross-Correlation Analysis to examine the cross-correlation patterns and efficiency dynamics of the analyzed assets. The findings reveal asymmetries in cross-correlations and the presence of multifractality, highlighting the nonlinear relationships among these assets and find FinTech assets are the most efficient. Secondly, we utilize the time domain quantile connectedness method to investigate tail risk connectedness, offering insights into the network's shock transmission and spillover effects. Our analysis identifies the major risk transmitters (FinTech stocks) and receivers (bond), emphasizing the interconnectedness of the assets. Additionally, the study conducts bivariate portfolio analysis, considering short and long investment horizons, to guide asset allocation and hedging strategies. Our findings have significant implications for facilitating informed investment strategies and improving the stability and resilience of financial markets.
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来源期刊
Global Finance Journal
Global Finance Journal BUSINESS, FINANCE-
CiteScore
7.30
自引率
13.50%
发文量
106
审稿时长
53 days
期刊介绍: Global Finance Journal provides a forum for the exchange of ideas and techniques among academicians and practitioners and, thereby, advances applied research in global financial management. Global Finance Journal publishes original, creative, scholarly research that integrates theory and practice and addresses a readership in both business and academia. Articles reflecting pragmatic research are sought in areas such as financial management, investment, banking and financial services, accounting, and taxation. Global Finance Journal welcomes contributions from scholars in both the business and academic community and encourages collaborative research from this broad base worldwide.
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