流行病和加密货币

IF 1.7 Q3 MANAGEMENT

IIMB Management Review Pub Date : 2023-06-01 DOI:10.1016/j.iimb.2023.06.002

Afees A. Salisu , Ahamuefula E. Ogbonna , Tirimisiyu F. Oloko

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引用次数: 1

摘要

本研究考察了流行病引起的不确定性对加密货币(比特币、以太坊和Ripple)的影响。它采用Westerlund和Narayan(2012, 2015)预测模型来检验流行病引起的不确定性的可预测性和我们模型的预测性能。我们研究了不对称在不确定性中的作用，以及我们的结果对最近开发的Salisu和Akanni(2020)全球恐惧指数的敏感性。加密货币可以对冲大流行带来的不确定性，尽管在COVID-19期间对冲效果有所降低。考虑不对称性可以提高可预测性和模型预测性能。我们的结果可能对流行病引起的不确定性的测量方法的选择很敏感。

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Pandemics and cryptocoins

This study examines the effect of pandemic-induced uncertainty on cryptocoins (Bitcoin, Ethereum and Ripple). It employs the Westerlund and Narayan (2012, 2015) predictive model to examine the predictability of pandemic-induced uncertainty and our model's forecast performance. We examine the role of asymmetry in uncertainty and the sensitivity of our results to the recently-developed Salisu and Akanni (2020) Global Fear Index. Cryptocoins act as a hedge against uncertainty due to pandemics, albeit with reduced hedging effectiveness in the COVID-19 period. Accounting for asymmetry improves predictability and model forecast performance. Our results may be sensitive to the choice of measure of pandemic-induced uncertainty.

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来源期刊

IIMB Management Review MANAGEMENT-

CiteScore

3.20

自引率

5.90%

发文量

审稿时长

68 days

期刊介绍： IIMB Management Review (IMR) is a quarterly journal brought out by the Indian Institute of Management Bangalore. Addressed to management practitioners, researchers and academics, IMR aims to engage rigorously with practices, concepts and ideas in the field of management, with an emphasis on providing managerial insights, in a reader friendly format. To this end IMR invites manuscripts that provide novel managerial insights in any of the core business functions. The manuscript should be rigorous, that is, the findings should be supported by either empirical data or a well-justified theoretical model, and well written. While these two requirements are necessary for acceptance, they do not guarantee acceptance. The sole criterion for publication is contribution to the extant management literature.Although all manuscripts are welcome, our special emphasis is on papers that focus on emerging economies throughout the world. Such papers may either improve our understanding of markets in such economies through novel analyses or build models by taking into account the special characteristics of such economies to provide guidance to managers.