- Tytuł:
- Cryptocurrency volatility and Egyptian stock market indexes: A note
- Autorzy:
-
Eldomiaty, Tarek
Mohab, Nada - Powiązania:
- https://bibliotekanauki.pl/articles/36100713.pdf
- Data publikacji:
- 2024
- Wydawca:
- Fundacja Naukowa Instytut Współczesnych Finansów
- Tematy:
-
value at risk
VaR
cryptocurrencies volatility
stock market index volatility
behavioral intention
EGX30
EGX70
EGX100
robustness
structural break
Egypt - Opis:
- This paper examines the effect of the riskiness of the top four cryptocurrencies on the riskiness of stock market indexes in Egypt, being recognized as a developing country. The analysis uses daily data on cryptocurrencies and the three stock market indexes covering January 2020 to January 2023. The risk is measured using the holding period Value at Risk (VaR). The GMM results show that (a) cryptocurrency volatility is negatively associated with the volatility of stock market indexes. That is, the higher the investors’ interest in trading cryptocurrencies, the lower the volatility of stock market indexes as investors trade stocks less frequently, (b) cryptocurrencies can provide hedge and diversification benefits, and (c) the relationship between volatilities of cryptocurrencies and stock market indexes varies across indexes, therefore, contingent.
- Źródło:
-
Modern Finance; 2024, 2, 1; 121-130
2956-7742 - Pojawia się w:
- Modern Finance
- Dostawca treści:
- Biblioteka Nauki
Artykuł