Cryptocurrency Rollercoaster: Volatility Patterns and Market Dynamics in Positive and Negative Events
Autor(a) principal: | |
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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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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) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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