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Keywords: Volatility spillover
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Journal Articles
Cross-market volatility dynamics in crypto and traditional financial instruments: quantifying the spillover effect
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2025) 26 (1): 1–21.
Published: 02 December 2024
...Mohamad H. Shahrour; Ryan Lemand; Mathis Mourey Purpose This paper examines the volatility spillover effects from traditional financial assets to cryptocurrency markets and vice versa. It aims to provide insights into the dynamic interconnectedness of these markets. Design/methodology/approach...
Journal Articles
Directional predictability and volatility spillover effect from stock market indexes to Bitcoin: evidence from developed and emerging markets
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2023) 24 (2): 226–243.
Published: 17 January 2023
...Imen Omri Purpose This paper aims to quantify the volatility spillover impact and the directional predictability from stock market indexes to Bitcoin. Design/methodology/approach Daily data of 15 developed and 15 emerging stock markets are used for the period March 2017–December 2021...
