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• W4286512898 startingPage "101776" @default.
• W4286512898 abstract "Using the five-minute interval price data of two cryptocurrencies and eight stock market indices, we examine the risk spillover and hedging effectiveness between these two assets. Our approach provides a comparative assessment encompassing the pre-COVID-19 and COVID-19 sample periods. We employ copula models to assess the dependence and risk spillover from Bitcoin and Ethereum to stock market returns during both the pre-COVID-19 and COVID-19 periods. Notably, the COVID-19 pandemic has increased the risk spillover from Bitcoin and Ethereum to stock market returns. The findings vis-à-vis portfolio weights and hedge effectiveness highlight hedging gains; however, optimal investments in Bitcoin and Ethereum have reduced during the COVID-19 pandemic, while the cost of hedging has increased during this period. The findings also confirm that cryptocurrencies cannot provide incremental gains by hedging stock market risk during the COVID-19 pandemic." @default.
• W4286512898 created "2022-07-22" @default.
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• W4286512898 date "2022-11-01" @default.
• W4286512898 modified "2023-10-03" @default.
• W4286512898 title "Do cryptocurrencies provide better hedging? Evidence from major equity markets during COVID-19 pandemic" @default.
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• W4286512898 doi "https://doi.org/10.1016/j.najef.2022.101776" @default.
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