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- W4313893088 abstract "The paper investigates whether a firm's implied volatility is affected by the volatility of central bank digital currencies. Our sample covers 2853 listed companies in the United States from 2014 to 2018. First, we find the variation of central bank digital currency has a positive impact on a firm’s implied volatility. Second, the healthier firms’ conditions can reduce the relationship between central bank digital currency variation and a firm’s implied volatility. Third, the positive relation between central bank digital currency and firm’s implied volatility still exists in investment-grade, speculative-grade, and unrated firms. Finally, to eliminate the endogeneity problem, we adopt simultaneous equation models (SEM) and find our results are still robust after excluding endogenous concerns. Our research provides a reminder for corporate managers and new implications for policymakers." @default.
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- W4313893088 date "2023-01-01" @default.
- W4313893088 modified "2023-10-01" @default.
- W4313893088 title "The impact of central bank digital currency variation on firm's implied volatility" @default.
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- W4313893088 doi "https://doi.org/10.1016/j.ribaf.2023.101878" @default.
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