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Outputs (3)

Causality and Dynamic Spillovers among Cryptocurrencies and Currency Markets (2020)
Journal Article
Elsayed, A., Gozgor, G., & Marco Lau, C. (2022). Causality and Dynamic Spillovers among Cryptocurrencies and Currency Markets. International Journal of Finance and Economics, 27(2), 2026-2040. https://doi.org/10.1002/ijfe.2257

This paper utilizes two methods to uncover the causality dynamic between the three leading cryptocurrencies: Bitcoin, Litecoin, Ripple, and nine major foreign currency markets. Firstly, we implement the technique of Diebold–Yilmaz to compute the spil... Read More about Causality and Dynamic Spillovers among Cryptocurrencies and Currency Markets.

Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies (2020)
Journal Article
Elsayed, A., Nasreen, S., & Tiwari, A. (2020). Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies. Energy Economics, 90, Article 104847. https://doi.org/10.1016/j.eneco.2020.104847

This study explores the time patterns of volatility spillovers between energy market and stock prices of seven major global financial markets including clean energy, energy, information technology corporations, equity markets and United States econom... Read More about Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies.

Does Bitcoin add value to global industry portfolios? (2020)
Journal Article
Damianov, D. S., & Elsayed, A. H. (2020). Does Bitcoin add value to global industry portfolios?. Economics Letters, 191, Article 108935. https://doi.org/10.1016/j.econlet.2019.108935

Bitcoin has been increasingly viewed as a new form of investment, yet its role as an asset in a diversified industry portfolio is not well understood. In this paper, we explore the dynamic interdependence between Bitcoin and the ten global industry s... Read More about Does Bitcoin add value to global industry portfolios?.