Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events

Detalhes bibliográficos
Autor(a) principal: Santos, Mariana Isabel Jinga Serôdio
Data de Publicação: 2024
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/164035
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
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network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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spelling Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative EventsCryptocurrency marketsBEKK-MGARCHVolatility SpilloversEvent StudyMarket ModelSDG 8 - Decent work and economic growthDomínio/Área Científica::Ciências Naturais::Ciências da Computação e da InformaçãoDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementCryptocurrencies have gained considerable attention in financial research in recent years. This investigation focused on analysing the volatility dynamics and the impact of both positive and negative events across cryptocurrency markets, high-market and low-market. Employing the bivariate BEKK-MGARCH model, the research aims to identify how cross-market volatility shocks and volatility transmissions range between these markets. The analysis of individual cryptocurrency markets reveals a price volatility dependency on their historical shocks and volatility. Based on the findings, most of the cryptocurrency pairs exhibit uni-directional transmission, either in terms of shock impact or volatility effects. Notably, there is a stronger indication of volatility transmission from high-market to low-market cryptocurrencies, as opposed to the reverse direction. This implies that the performance of high-market cryptocurrencies exerts influence, either positively or negatively, on low-market. The study also highlights the existence of time-varying conditional correlations, mostly demonstrating a positive relationship. Moreover, the research integrates positive and negative events into the assessment, observing that within the event study conducted on price returns of cryptocurrencies over an eleven-day event window (-5,+5), negative events significantly have more impact on cryptocurrencies. These findings hold valuable implications for investors, particularly highlighting the importance of considering negative cryptocurrency-related events and taking into account the influence of the main digital currencies in the whole cryptocurrency market, serving as a precautionary measure to mitigate potential financial losses.Damásio, Bruno Miguel PintoRUNSantos, Mariana Isabel Jinga Serôdio2024-02-23T16:14:20Z2024-01-302024-01-30T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/164035TID:203527976enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:50:30Zoai:run.unl.pt:10362/164035Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T04:00:00.797804Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events
title Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events
spellingShingle Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events
Santos, Mariana Isabel Jinga Serôdio
Cryptocurrency markets
BEKK-MGARCH
Volatility Spillovers
Event Study
Market Model
SDG 8 - Decent work and economic growth
Domínio/Área Científica::Ciências Naturais::Ciências da Computação e da Informação
title_short Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events
title_full Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events
title_fullStr Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events
title_full_unstemmed Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events
title_sort Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events
author Santos, Mariana Isabel Jinga Serôdio
author_facet Santos, Mariana Isabel Jinga Serôdio
author_role author
dc.contributor.none.fl_str_mv Damásio, Bruno Miguel Pinto
RUN
dc.contributor.author.fl_str_mv Santos, Mariana Isabel Jinga Serôdio
dc.subject.por.fl_str_mv Cryptocurrency markets
BEKK-MGARCH
Volatility Spillovers
Event Study
Market Model
SDG 8 - Decent work and economic growth
Domínio/Área Científica::Ciências Naturais::Ciências da Computação e da Informação
topic Cryptocurrency markets
BEKK-MGARCH
Volatility Spillovers
Event Study
Market Model
SDG 8 - Decent work and economic growth
Domínio/Área Científica::Ciências Naturais::Ciências da Computação e da Informação
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2024
dc.date.none.fl_str_mv 2024-02-23T16:14:20Z
2024-01-30
2024-01-30T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/164035
TID:203527976
url http://hdl.handle.net/10362/164035
identifier_str_mv TID:203527976
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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