Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/22585
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | González, MDLO | - |
dc.contributor.author | Jareño, F | - |
dc.contributor.author | Skinner, FS | - |
dc.date.accessioned | 2021-04-29T08:47:52Z | - |
dc.date.available | 2021-04-29T08:47:52Z | - |
dc.date.issued | 2021-04-24 | - |
dc.identifier | ORCiD: María de la O González https://orcid.org/0000-0003-0740-7965 | - |
dc.identifier | ORCiD: Francisco Jareño https://orcid.org/0000-0001-9778-7345 | - |
dc.identifier | ORCiD: Frank S. Skinner https://orcid.org/0000-0002-1442-9479 | - |
dc.identifier | 101773 | - |
dc.identifier.citation | González, M.d.l.O., Jareño, F. and Skinner, F.S. (2021) 'Asymmetric interdependencies between large capital cryptocurrency and Gold returns during the COVID-19 pandemic crisis', International Review of Financial Analysis, 76, 101773, pp. 1 - 16. doi: 10.1016/j.irfa.2021.101773. | en_US |
dc.identifier.issn | 1057-5219 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/22585 | - |
dc.description.abstract | This article explores asymmetric interdependencies between the twelve largest cryptocurrency and Gold returns, over the period January 2015 – June 2020 within a NARDL (nonlinear autoregressive distributed lag) framework. We focus our analysis on the epicentre of the first wave of the COVID-19 pandemic from March 2020 to June 2020. During this crisis, cryptocurrencies are more correlated and more of them have returns that are cointegrated with Gold returns. Moreover, cryptocurrencies develop a long-term as well as a short-term asymmetric response to Gold returns during the COVID-19 period where most cryptocurrency returns respond more to negative changes and exhibit more persistence with Gold returns. Overall, our most important result confirms that the connectedness between Gold price returns and cryptocurrency returns increase in economic turmoil, such as during the COVID-19 crisis. | - |
dc.description.sponsorship | Spanish Ministerio de Economía, Industria y Competitividad (ECO2017-89715-P). | en_US |
dc.format.extent | 1 - 16 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en_US | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | Copyright © Elsevier 2021. All rights reserved. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ (see: https://www.elsevier.com/about/policies/sharing). | - |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | - |
dc.subject | cryptocurrencies | en_US |
dc.subject | gold | en_US |
dc.subject | NARDL | en_US |
dc.subject | connectedness | en_US |
dc.subject | COVID-19 crisis | en_US |
dc.title | Asymmetric interdependencies between large capital cryptocurrency and Gold returns during the COVID-19 pandemic crisis | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1016/j.irfa.2021.101773 | - |
dc.relation.isPartOf | International Review of Financial Analysis | - |
pubs.publication-status | Published | - |
pubs.volume | 76 | - |
dc.identifier.eissn | 1873-8079 | - |
dc.rights.license | https://creativecommons.org/licenses/by-nc-nd/4.0/leglacode.en | - |
dc.rights.holder | Elsevier | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
FullText.pdf | Copyright © Elsevier 2021. All rights reserved. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ (see: https://www.elsevier.com/about/policies/sharing). | 971.02 kB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License