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dc.contributor.authorGil Alana, Luis A. 
dc.contributor.authorAikins Abakah, Emmanuel Joel
dc.contributor.authorRomero Rojo, María Fátima
dc.date.accessioned2021-02-24T13:02:20Z
dc.date.available2021-02-24T13:02:20Z
dc.date.issued2020
dc.identifier.issn0275-5319spa
dc.identifier.urihttp://hdl.handle.net/10641/2229
dc.description.abstractIn this paper, we investigate the stochastic properties of six major cryptocurrencies and their bilateral linkages with six stock market indices using fractional integration techniques. From the univariate analysis, we observe that for Bitcoin and Ethereum, the unit root null hypothesis cannot be rejected; for Litecoin, Ripple and Stellar, the order of integration is found to be significantly higher than 1; for Tether, however, we find evidence in favour of mean reversion. For the stock market indices, the results are more homogeneous and the unit root cannot be rejected in any of the series, with the exception of VIX where mean reversion is obtained. Concerning bivariate results within the cryptocurrencies and testing for cointegration, we provide evidence of no cointegration between the six cryptocurrencies. Along the same lines, testing for cointegration between the cryptocurrencies and the stock market indices, we find evidence of no cointegration, which implies that the cryptocurrencies are decoupled from the mainstream financial and economic assets. The findings in this paper indicate the significant role of cryptocurrencies in investor portfolios since they serve as a diversification option for investors, confirming that cryptocurrency is a new investment asset class.spa
dc.language.isoengspa
dc.publisherResearch in International Business and Financespa
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subjectCryptocurrenciesspa
dc.subjectStock market indicesspa
dc.subjectFractional integrationspa
dc.subjectFractional cointegrationspa
dc.titleCryptocurrencies and stock market indices. Are they related?spa
dc.typejournal articlespa
dc.type.hasVersionSMURspa
dc.rights.accessRightsopen accessspa
dc.description.extent394 KBspa
dc.identifier.doi10.1016/j.ribaf.2019.101063spa
dc.relation.publisherversionhttps://www.sciencedirect.com/science/article/abs/pii/S0275531919303472spa


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