Cryptocurrency Market

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074).

Deadline for manuscript submissions: closed (1 September 2022) | Viewed by 5623

Special Issue Editor


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Guest Editor
Department of International Economic Relations, Sumy State University, 2, Rymskogo-Korsakova st., 40007 Sumy, Ukraine
Interests: financial markets; stock market; cryptocurrency market; investment; market anomalies; price patterns

Special Issue Information

Dear Colleagues,

This Special Issue is focused on the topic of the “Cryptocurrency Market”. The cryptocurrency market is rather young, but it already provides us with sufficient data and information to explore different aspects of its development, evolution, and future prospects.

The cryptocurrency market is among the most volatile today. Is there anything specific about its price behavior? Can cryptocurrencies be true safe-haven assets or hedges against inflation? Is crypto investment an asset or it is pure speculation? Is the cryptocurrency market efficient? Can abnormal profits be generated there? Is blockchain a real breakthrough in financial engineering or is crypto just a temporary bubble?

These and many other questions are the objects of interest in this Special Issue.

Theoretical and empirical papers on the cryptocurrency market within a wide range of research interests are welcome.

We invite you to contribute with your work.

Prof. Dr. Alex Plastun
Guest Editor

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Keywords

  • Cryptocurrency market
  • Bitcoin
  • Blockchain
  • Decentralized finance
  • Smart contracts

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Published Papers (1 paper)

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Research

15 pages, 773 KiB  
Article
Investigating the Co-Volatility Spillover Effects between Cryptocurrencies and Currencies at Different Natures of Risk Events
by Shu-Han Hsu
J. Risk Financial Manag. 2022, 15(9), 372; https://doi.org/10.3390/jrfm15090372 - 24 Aug 2022
Cited by 19 | Viewed by 4656
Abstract
This paper examines and confirms the varying volatility of the relationship between cryptocurrency and currency markets at different time periods, such as when the market encountered multiple risk events including the US–China trade war, COVID-19, and the Russian–Ukraine war. We employ the Diagonal [...] Read more.
This paper examines and confirms the varying volatility of the relationship between cryptocurrency and currency markets at different time periods, such as when the market encountered multiple risk events including the US–China trade war, COVID-19, and the Russian–Ukraine war. We employ the Diagonal BEKK model and find that the co-volatility spillover effects between the returns of cryptocurrencies and currencies, with the exception of Tether and the U.S. dollar index, evolved significantly. Furthermore, the co-volatility spillover effects between cryptocurrencies and EUR have the largest effects and fluctuations. Large-cap cryptocurrencies (Bitcoin and Ethereum) have greater co-volatility spillover effects between them and currencies. Regarding the ability of cryptocurrencies to act as safe-haven for currencies, we observe that Bitcoin, Ethereum, and Tether served as safe-havens during the US–China trade war, and Bitcoin was a safe-haven during COVID-19. During the 2022 Russian–Ukraine war, Bitcoin and Tether were safe-havens. Interestingly, our findings point out that Bitcoin provides a more consistent safe-haven function for currency markets. Overall, by including multiple global risk events and a comprehensive dataset, the results support our conjecture (and earlier studies) indicating that the capabilities of cryptocurrency are time-varying and related to market status and risk events with different natures. Full article
(This article belongs to the Special Issue Cryptocurrency Market)
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