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Information Flow between Global Equities and Cryptocurrencies: A VMD‐Based Entropy Evaluating Shocks from COVID‐19 Pandemic
16 references·10 citing·43 second hop
Information Flow between Global Equities and Cryptocurrencies: A VMD‐Based Entropy Evaluating Shocks from COVID‐19 Pandemic (2021)Information Flow between Global Equities …Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…International comovement of stock market returns: A wavelet analysis (2009)International comovement of s…Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…CAViaR (2004)CAViaRVolatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Knowledge and the Flow of Information. (1985)Knowledge and the Flow of Inf…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Conflict and Trade (1980)Conflict and TradeThe arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Domestic Financial Policies Under Fixed and Under Floating Exchange Rates (1962)Domestic Financial Policies U…Domestic Financial Policies under Fixed and under Floating Exchange Rates (Politiques finacierieures interieures avec un systeme de taux de change fixe et avec un systeme de taux de change fluctuant) (Politica financiera interna bajo sistemas de tipos de cambio fijos o de tipos de cambio fluctuantes) (1962)Domestic Financial Policies u…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Dynamics of asymmetric multifractal cross-correlations between cryptocurrencies and global stock markets: Role of gold and portfolio implications (2024)Dynamics of asymmetric multif…Vulnerability of Sustainable Islamic Stock Returns to Implied Market Volatilities: An Asymmetric Approach (2022)Vulnerability of Sustainable …Spillovers and contagion between BRIC and G7 markets: New evidence from time-frequency analysis (2022)Spillovers and contagion betw…Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis (2022)Modelling the asymmetric effe…ICEEMDAN-Based Transfer Entropy between Global Commodity Classes and African Equities (2022)ICEEMDAN-Based Transfer Entro…Exchange Rate, COVID‐19, and Stock Returns in Africa: Insights from Time‐Frequency Domain (2022)Exchange Rate, COVID‐19, and …Asymmetric Exchange Rate Pass‐Through to Consumer Prices in Ghana: Evidence from EMD‐NARDL Approach (2022)Asymmetric Exchange Rate Pass…Information Flow from COVID‐19 Pandemic to Islamic and Conventional Equities: An ICEEMDAN‐Induced Transfer Entropy Analysis (2021)Information Flow from COVID‐1…Financial sector and economic growth amid external uncertainty shocks: Insights into emerging economies (2021)Financial sector and economic…Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions (2021)Analysing the relationship be…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)Prospect Theory: An Analysis of Decision under Risk (1979)An Evolutionary Theory of Economic Change. (1983)Prospect theory: An analysis of decision under risk (1988)Institutional Investors and the Informational Efficiency of Prices (2009)Sustainable Development and Financial Markets (2015)Machine learning techniques and data for stock market forecasting: A literature review (2022)The General Theory of Employment, Interest and Money. (1936)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)In Search of Attention (2011)Textual Analysis in Accounting and Finance: A Survey (2016)Judgment Under Uncertainty: Heuristics and Biases. (1984)Advances in prospect theory: Cumulative representation of uncertainty (1992)Is gold a safe haven? International evidence (2010)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)It's Baaack: Japan's Slump and the Return of the Liquidity Trap (1998)The Economics of Exchange Rates (2003)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Financial contagion during COVID–19 crisis (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
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  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,822 cited
  • 2020Financial markets under the global pandemic of COVID-192,349 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2004CAViaR2,210 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 1962Domestic Financial Policies Under Fixed and Under Floating Exchange Rates1,412 cited
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 1985Knowledge and the Flow of Information.1,344 cited
  • 1962Domestic Financial Policies under Fixed and under Floating Exchange Rates (Politiques finacierieures interieures avec un systeme de taux de change fixe et avec un systeme de taux de change fluctuant) (Politica financiera interna bajo sistemas de tipos de cambio fijos o de tipos de cambio fluctuantes)1,024 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited

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  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
  • 1980Conflict and Trade660 cited
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    • 2022Spillovers and contagion between BRIC and G7 markets: New evidence from time-frequency analysis58 cited
    • 2022Exchange Rate, COVID‐19, and Stock Returns in Africa: Insights from Time‐Frequency Domain36 cited
    • 2022Vulnerability of Sustainable Islamic Stock Returns to Implied Market Volatilities: An Asymmetric Approach27 cited
    • 2024Dynamics of asymmetric multifractal cross-correlations between cryptocurrencies and global stock markets: Role of gold and portfolio implications25 cited
    • 2021Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions25 cited
    • 2022ICEEMDAN-Based Transfer Entropy between Global Commodity Classes and African Equities24 cited
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