Cryptocurrencies, Fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve
| العنوان: | Cryptocurrencies, Fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve |
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| المؤلفون: | Razali Haron, Anwar Hasan Abdullah Othman, Syed Musa Syed Jaafar Alhabshi |
| المصدر: | International Journal of Monetary Economics and Finance. 12:75 |
| بيانات النشر: | Inderscience Publishers, 2019. |
| سنة النشر: | 2019 |
| مصطلحات موضوعية: | Cryptocurrency, Economics and Econometrics, Autoregressive conditional heteroskedasticity, Fiat money, 05 social sciences, Financial market, U.S. Dollar Index, Monetary economics, Market risk, Currency, 0502 economics and business, Economics, 050211 marketing, Volatility (finance), 050212 sport, leisure & tourism, Finance |
| الوصف: | This study investigates whether symmetric and asymmetric volatility effects are persisted in the daily return series of Bitcoin currency compared to the gold and fiat money system using GARCH family models. The symmetric analysis shows that the three monetary systems exhibit time-varying volatility with high persistence and predictability behaviour whereas asymmetric analysis indicates that Bitcoin currency and gold are not significantly respond to asymmetric information effects in the financial markets however, the US dollar index is affected by the positive shocks. This suggesting Bitcoin and gold have the capability for hedging or safe-haven assets against market risk specifically during times of economic turmoil. Evidence suggests that cryptocurrency is a potential alternative to current fiat money system, offering benefit for policy makers and a good investment option for positional investors in terms of hedging, portfolio diversification strategy and risk management. |
| تدمد: | 1752-0487 1752-0479 |
| الوصول الحر: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2d46f100c8fd3a5fef75eb31305c711cTest https://doi.org/10.1504/ijmef.2019.100262Test |
| رقم الانضمام: | edsair.doi.dedup.....2d46f100c8fd3a5fef75eb31305c711c |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 17520487 17520479 |
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