{"title":"加密货币在2019冠状病毒病之前和期间对黄金、WTI、VIX指数、G7和金砖国家指数的影响:分位数回归和NARDL分析","authors":"Mouna Aloui, B. Hamdi, A. Tiwari, A. Jeribi","doi":"10.1108/ijlma-04-2022-0083","DOIUrl":null,"url":null,"abstract":"\nPurpose\nThis study aims to explore the impact of cryptocurrencies (Bitcoin, Ethereum, Monero and Ripple) on the gold, WTI, VIX index, G7 and the BRICS index before and during COVID-19.\n\n\nDesign/methodology/approach\nThis research analyzes the impact of cryptocurrencies (Bitcoin, Ethereum, Monero and Ripple) on the gold, WTI, VIX index, G7 and the BRICS index before and during COVID-19, using the quantile regression approach for the 2016–2020 period. In addition, to catch long- and short-run asymmetries of cryptocurrencies on aforementioned dependent variables, an asymmetric nonlinear co-integration (nonlinear autoregressive distributed lag [NARDL]) approach is applied.\n\n\nFindings\nThe result of the quantile regression shows that in a high market, which corresponds to the 90th quantile, the FTSE MIB, CAC40, SSE, BSE 30, and BVSP stock market showed a statistically insignificant negative coefficient, on the Bitcoin price. In a middle and low markets, which correspond to the 0.2, 0.3 and 0.5th quantiles, the BVSP, FTSE MIB, S&P/TSX, SSE and Nikkei stock markets show statistically significant and positive on Bitcoin. Evidence from the NARDL shows a statistically significant positive impact of cryptocurrencies on the gold, WTI, VIX index, G7 and BRICS indices before and during COVID-19 pandemic.\n\n\nOriginality/value\nThese results can provide investors with valuable analysis and information and help them make the best decisions and adopt the best strategies. Therefore, future investigations may concentrate and examine the monetary and governmental policies to be adapted to face the COVID-19 pandemic’s dangerous effects on both the society and the economy. For this reason, investors should take this into account when making their asset allocation decisions. Moreover, the portfolio managers, such as index funds, may consider few eligible cryptocurrencies for their inclusion into the portfolio. However, the speculators present in both stock and crypto markets may opt for a spread strategy to improve their portfolio returns.\n","PeriodicalId":46125,"journal":{"name":"International Journal of Law and Management","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2023-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The impact of cryptocurrencies on the gold, WTI, VIX index, G7 and BRICS index before and during COVID-19: a quantile regression and NARDL analysis\",\"authors\":\"Mouna Aloui, B. Hamdi, A. Tiwari, A. Jeribi\",\"doi\":\"10.1108/ijlma-04-2022-0083\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"\\nPurpose\\nThis study aims to explore the impact of cryptocurrencies (Bitcoin, Ethereum, Monero and Ripple) on the gold, WTI, VIX index, G7 and the BRICS index before and during COVID-19.\\n\\n\\nDesign/methodology/approach\\nThis research analyzes the impact of cryptocurrencies (Bitcoin, Ethereum, Monero and Ripple) on the gold, WTI, VIX index, G7 and the BRICS index before and during COVID-19, using the quantile regression approach for the 2016–2020 period. In addition, to catch long- and short-run asymmetries of cryptocurrencies on aforementioned dependent variables, an asymmetric nonlinear co-integration (nonlinear autoregressive distributed lag [NARDL]) approach is applied.\\n\\n\\nFindings\\nThe result of the quantile regression shows that in a high market, which corresponds to the 90th quantile, the FTSE MIB, CAC40, SSE, BSE 30, and BVSP stock market showed a statistically insignificant negative coefficient, on the Bitcoin price. In a middle and low markets, which correspond to the 0.2, 0.3 and 0.5th quantiles, the BVSP, FTSE MIB, S&P/TSX, SSE and Nikkei stock markets show statistically significant and positive on Bitcoin. Evidence from the NARDL shows a statistically significant positive impact of cryptocurrencies on the gold, WTI, VIX index, G7 and BRICS indices before and during COVID-19 pandemic.\\n\\n\\nOriginality/value\\nThese results can provide investors with valuable analysis and information and help them make the best decisions and adopt the best strategies. Therefore, future investigations may concentrate and examine the monetary and governmental policies to be adapted to face the COVID-19 pandemic’s dangerous effects on both the society and the economy. For this reason, investors should take this into account when making their asset allocation decisions. Moreover, the portfolio managers, such as index funds, may consider few eligible cryptocurrencies for their inclusion into the portfolio. However, the speculators present in both stock and crypto markets may opt for a spread strategy to improve their portfolio returns.\\n\",\"PeriodicalId\":46125,\"journal\":{\"name\":\"International Journal of Law and Management\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.3000,\"publicationDate\":\"2023-08-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Law and Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1108/ijlma-04-2022-0083\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"LAW\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Law and Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/ijlma-04-2022-0083","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"LAW","Score":null,"Total":0}
The impact of cryptocurrencies on the gold, WTI, VIX index, G7 and BRICS index before and during COVID-19: a quantile regression and NARDL analysis
Purpose
This study aims to explore the impact of cryptocurrencies (Bitcoin, Ethereum, Monero and Ripple) on the gold, WTI, VIX index, G7 and the BRICS index before and during COVID-19.
Design/methodology/approach
This research analyzes the impact of cryptocurrencies (Bitcoin, Ethereum, Monero and Ripple) on the gold, WTI, VIX index, G7 and the BRICS index before and during COVID-19, using the quantile regression approach for the 2016–2020 period. In addition, to catch long- and short-run asymmetries of cryptocurrencies on aforementioned dependent variables, an asymmetric nonlinear co-integration (nonlinear autoregressive distributed lag [NARDL]) approach is applied.
Findings
The result of the quantile regression shows that in a high market, which corresponds to the 90th quantile, the FTSE MIB, CAC40, SSE, BSE 30, and BVSP stock market showed a statistically insignificant negative coefficient, on the Bitcoin price. In a middle and low markets, which correspond to the 0.2, 0.3 and 0.5th quantiles, the BVSP, FTSE MIB, S&P/TSX, SSE and Nikkei stock markets show statistically significant and positive on Bitcoin. Evidence from the NARDL shows a statistically significant positive impact of cryptocurrencies on the gold, WTI, VIX index, G7 and BRICS indices before and during COVID-19 pandemic.
Originality/value
These results can provide investors with valuable analysis and information and help them make the best decisions and adopt the best strategies. Therefore, future investigations may concentrate and examine the monetary and governmental policies to be adapted to face the COVID-19 pandemic’s dangerous effects on both the society and the economy. For this reason, investors should take this into account when making their asset allocation decisions. Moreover, the portfolio managers, such as index funds, may consider few eligible cryptocurrencies for their inclusion into the portfolio. However, the speculators present in both stock and crypto markets may opt for a spread strategy to improve their portfolio returns.
期刊介绍:
The International Journal of Law and Management is a leading journal addressing all aspects of regulation and law as they impact on organisational development, operations and leadership. Organisations and their leaders operate in an increasingly complex world of emerging regulation across national and international boundaries. The International Journal of Law and Management seeks to acknowledge the dynamics of that environment and provide a platform for articles and contributions to stimulate scholarly debate in the development of law and practice. The International Journal of Law and Management seeks to present the latest research on policy, practice and theoretical perspectives and their impact on the development and leadership of organisations. Contributions of a multi-disciplinary nature are welcome. Coverage includes, but is not limited to: -Employment and industrial law- Corporate governance and social responsibility- Intellectual property- Corporate law and finance- Insolvency- Commercial law and consumer protection- Environmental law- Taxation- Competition law- Regulatory theory