Large-scale group decision-making with non-cooperative behaviors and heterogeneous preferences: An application in financial inclusion

Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19 pandemic triggered an urgent need for a study summarising the existing knowledge of contagion phenomenon. This paper provides a review of conceptual approaches to studying financial contagion at four levels of information transmission: (i) Catalyst of contagion; (ii) Media Attention; (iii) Spillover effect at financial markets; (iv) Macroeconomic fundamentals. We discuss the unique characteristics of COVID-19 crisis and demonstrate how this shock differs from previous crises and to what extent the COVID-19 pandemic can be considered a ‘black swan’ event. We also review the main concepts, definitions and methodologies that are frequently, but inconsistently, used in contagion literature to unveil the existing problems and ambiguities in this popular area of research. This paper will help researchers to conduct coherent and methodologically rigorous research on the impact of COVID-19 on financial markets during the pandemic and its aftermath.

Rethinking Financial Contagion: Information Transmission Mechanism During the COVID-19 Pandemic.

This paper examines whether the equity market uncertainty (EMU) index contains incremental information for forecasting the realized volatility of crude oil futures. We use 5-min high-frequency tran...

Forecasting realized volatility of crude oil futures with equity market uncertainty

We examine the dynamic behavior of bank capital using a global sample of 64 countries during the 1994-2010 period. Banks achieve deleveraging through active capital management (equity growth) rather than asset liquidation. In contrast, they achieve leveraging through passive capital management (reduced earnings retention) and substantial asset expansion (but also cash hoarding). The speed of capital structure adjustment is heterogeneous across countries. Banks make faster capital structure adjustments in countries with more stringent capital requirements, better supervisory monitoring, more developed capital markets, and high inflation. In times of crises, banks adjust their capital structure significantly more quickly.

Bank capital management: International evidence

The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels

The paper examines the return and volatility transmission between NFTs, Defi assets, and other assets (oil, gold, Bitcoin, and S&P 500) using the TVP-VAR framework. The results report weak static return and volatility spillovers between NFTs and Defi assets and selected markets, showing that these new digital assets are still relatively decoupled from traditional asset classes. Bitcoin, oil, and half of the NFTs and Defi assets are net transmitters of return and volatility spillovers, whereas rest of the markets are net recipients of spillovers. Our findings show that the dynamic return and volatility connectedness become higher during the initial phase of the COVID-19 pandemic and the cryptocurrency bubble of 2021. We also compute the static and dynamic optimal weights, hedge ratios, and hedging effectiveness for the portfolios of NFTs/other asset and Defi asset/other asset and show that investors and portfolio managers should consider adding NFTs and Defi assets in their portfolios of gold, oil, and stock markets to achieve diversification benefits.

Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication

The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: evidence from the VAR-DCC-GARCH approach

A tale of company fundamentals vs sentiment driven pricing: The case of GameStop

Through the application of the VAR-AGARCH model to intra-day data for three cryptocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 period and the COVID-19 period. We also estimate the optimal weights, hedge ratios, and hedging effectiveness during both sample periods. We find that the return spillovers vary across the two periods for the Bitcoin–Ethereum, Bitcoin–Litecoin, and Ethereum–Litecoin pairs. However, the volatility transmissions are found to be different during the two sample periods for the Bitcoin–Ethereum and Bitcoin–Litecoin pairs. The constant conditional correlations between all pairs of cryptocurrencies are observed to be higher during the COVID-19 period compared to the pre-COVID-19 period. Based on optimal weights, investors are advised to decrease their investments (a) in Bitcoin for the portfolios of Bitcoin/Ethereum and Bitcoin/Litecoin and (b) in Ethereum for the portfolios of Ethereum/Litecoin during the COVID-19 period. All hedge ratios are found to be higher during the COVID-19 period, implying a higher hedging cost compared to the pre-COVID-19 period. Last, the hedging effectiveness is higher during the COVID-19 period compared to the pre-COVID-19 period. Overall, these findings provide useful information to portfolio managers and policymakers regarding portfolio diversification, hedging, forecasting, and risk management.

/pdf/discovering-interlinkages-between-major-cryptocurrencies-ofjlgw0tms.pdf

Imran Yousaf

Papers

Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication

The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: evidence from the VAR-DCC-GARCH approach

A tale of company fundamentals vs sentiment driven pricing: The case of GameStop

Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic

Impact of Russian-Ukraine war on clean energy, conventional energy, and metal markets: Evidence from event study approach