...João Afonso Coelho; António Portugal Duarte; Fátima Sol Murta Purpose The purpose of this study is to investigate the volatility dynamics of cryptocurrencies, fiat currencies from high-inflation economies and gold to assess their potential as stable stores of value in economically unstable...

...Sercan Demiralay; Petros Golitsis; Athanasios Fassas; Jocelyn Chen Purpose This study aims to investigate whether alternative assets – specifically Bitcoin, gold, oil and real estate – can effectively hedge risks associated with conventional equity markets. Design/methodology/approach...

...Zhaoying Lu; Hisashi Tanizaki Purpose This study aims to investigate how the gold return and its volatility respond to the COVID-19 pandemic. Design/methodology/approach Stochastic volatility (SV) models are conducted to examine the response of gold to the number of new confirmed cases...

... is unknown. The author performs the analysis first for the whole sample and then for a “COVID-19 subsample.” Findings The author finds evidence supporting a stronger link between BTC and gold in COVID-19 times, with BTC the main driving force. The author quantifies the contribution of BTC to the surge...

...Florin Aliu; Alban Asllani; Simona Hašková Purpose Since 2008, bitcoin has continued to attract investors due to its growing capitalization and opportunity for speculation. The purpose of this paper is to analyze the impact of bitcoin (BTC) on gold, the volatility index (VIX) and the dollar index...

...Panos Fousekis Purpose This study aims to assess the contemporaneous dependence between euro, crude oil and gold returns and their respective implied volatility changes. Design/methodology/approach The empirical analysis relies on daily data for the period 2015–2022 and the local Gaussian...

...Hechem Ajmi; Nadia Arfaoui; Karima Saci Purpose This paper aims to investigate the volatility transmission across stocks, gold and crude oil markets before and during the novel coronavirus (COVID-19) crisis. Design/methodology/approach A multivariate vector autoregression (VAR)-Baba, Engle...

...Satish Kumar Purpose The author aims to examine the long-run dynamic relation between gold price and inflation in the Indian context from 1982 to 2015. The author measures inflation using consumer price index and wholesale price index (WPI). However, this study focuses on the long-run dynamic...

...Tim Leung; Brian Ward Purpose – The purpose of this study is to understand the tracking errors of leveraged exchange-traded funds (LETFs) on gold and demonstrate improved tracking performance by dynamic portfolios of gold futures. Design/methodology/approach – The author formulates...