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Two Essays on Cryptocurrency Markets
Title
Two Essays on Cryptocurrency Markets
Creator
Fan, Lei
Date
2022
Description
Understanding the dependence relationships among cryptocurrencies and equity markets is of interest to both academics and researchers. This...
Show moreUnderstanding the dependence relationships among cryptocurrencies and equity markets is of interest to both academics and researchers. This dissertation is comprised of two essays to add to this understanding. In the first essay, I investigate the interdependencies among the level of informational efficiency of four cryptocurrencies. I examine the correlations between the market efficiencies of cryptocurrencies using the rolling window method. I find that the correlations between those levels of market efficiencies are time-varying and influenced by the market condition and external events. I extend the study by employing Granger causality tests to analyze the causal relationships among these levels of market efficiency. I find that the Granger causalities among the levels of the cryptocurrency market efficiencies are time-varying and impacted by the level of the market efficiencies. In the second essay, I investigate the pairwise dependencies and causalities between the returns of the cryptocurrencies and six equity market indices. I examine the pairwise dependencies between the returns of cryptocurrencies and those of the equity indices by using the DCC-GARCH framework. I find the dynamic conditional correlations between the cryptocurrencies and equity indices are time-varying and generally weak. Furthermore, I study the causal relationship between cryptocurrencies and equity indices by employing the rolling Granger causality test. I find that the Granger causalities between cryptocurrencies and equity indices are time-varying, and more unidirectional Granger causalities are found from cryptocurrencies to equity indices. In addition, I examine the impact of cryptocurrency returns on the correlations between the equity market indices, and likewise, the impact of equity market returns on the correlations between the cryptocurrencies. I find that the cryptocurrency price fluctuations have minimal impact on the correlations between equity indices. Moreover, the dynamic conditional correlation between cryptocurrencies is unaffected by equity price innovations except for some extreme events. These findings could have implications for understanding the relationships among cryptocurrencies and equity markets and for investors wishing to incorporate these relationships in their portfolio choices.
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Essays on Clean Energy Finance and Cryptocurrency Market
Title
Essays on Clean Energy Finance and Cryptocurrency Market
Creator
Xie, Yao
Date
2021
Description
This dissertation includes four essays with several empirical investigations in the areas of clean energy finance and cryptocurrencies.In the...
Show moreThis dissertation includes four essays with several empirical investigations in the areas of clean energy finance and cryptocurrencies.In the first essay, I investigate the heterogeneous relationship between various determinants of the clean energy market across all subsectors of the clean energy stock market. My findings reveal that VIX is the most significant predictor of all clean energy subsectors conditional volatility. During the COVID-19 stress period, economic uncertainty measures become more significant measures. The heterogeneity of clean energy market persists in the out-of-sample results. These results suggest that portfolio diversification for different clean energy subsector is necessary. In the second essay, I study the safe haven property of several volatility indexes on clean energy subsectors. I compare the current COVID-19 stress period and the time before. The results show that market volatility and commodity volatility are good safe haven assets during the COVID-19 period. But they are not safe haven assets against the clean energy subsector before the pandemic period. Among all volatility indexes, gold volatility index is the most effective safe haven assets. In the third essay, I investigate the characteristics of Bitcoin as a financial asset. A comprehensive set of information variables under five categories: macroeconomics, blockchain technology, other markets, stress level, and investor sentiment. The empirical results show that blockchain technology, stress level and investor sentiment have strong predicting power on Bitcoin returns. In the fourth essay, I aim to study how extreme sentiment measures from Google Trend and Wikipedia Pageviews affect both traditional cryptocurrency, such as Bitcoin and stablecoin, like Tether. Our results show that Tether’s return is not affected by the extreme sentiment measures during the COVID-19 stress period which suggests that stablecoin can offer price stability.
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