Volatility spillovers among leading cryptocurrencies and US energy and technology companies  

作　　者：Amro Saleem Alamaren Korhan K.Gokmenoglu Nigar Taspinar 

机构地区：[1]Department of Banking and Finance,Eastern Mediterranean University,Via Mersin 10,Famagusta,North Cyprus,Turkey [2]Department of Capital Markets,Ankara HBV University,Ankara,Turkey

出　　处：《Financial Innovation》2024年第1期2607-2643,共37页金融创新(英文)

摘　　要：This study investigates volatility spillovers and network connectedness among four cryptocurrencies(Bitcoin,Ethereum,Tether,and BNB coin),four energy companies(Exxon Mobil,Chevron,ConocoPhillips,and Nextera Energy),and four mega-technology companies(Apple,Microsoft,Alphabet,and Amazon)in the US.We analyze data for the period November 15,2017-October 28,2022 using methodologies in Diebold and Yilmaz(Int J Forecast 28(1):57-66,2012)and Baruník and Krehlík(J Financ Economet 16(2):271-2962018).Our analysis shows the COVID-19 pandemic amplified volatility spillovers,thereby intensifying the impact of financial contagion between markets.This finding indicates the impact of the pandemic on the US economy heightened risk transmission across markets.Moreover,we show that Bitcoin,Ethereum,Chevron,ConocoPhilips,Apple,and Microsoft are net volatility transmitters,while Tether,BNB,Exxon Mobil,Nextera Energy,Alphabet,and Amazon are net receivers Our results suggest that short-term volatility spillovers outweigh medium-and long-term spillovers,and that investors should be more concerned about short-term repercussions because they do not have enough time to act quickly to protect themselves from market risks when the US market is affected.Furthermore,in contrast to short-term dynamics,longer term patterns display superior hedging efficiency.The net-pairwise directional spillovers show that Alphabet and Amazon are the highest shock transmitters to other companies.The findings in this study have implications for both investors and policymakers.

关 键 词：Volatility spillovers Connectedness network Cryptocurrency Energy companies Technology companies 

分 类 号：F22[经济管理—国民经济]