| Autor: |
Hussain, S. I., Ruza, N., Masseran, N., Safari, M. A. M., Ibrahim, Siti Nur Iqmal, Ibrahim, Noor Akma, Ismail, Fudziah, Lee, Lai Soon, Leong, Wah June, Midi, Habshah, Wahi, Nadihah |
| Předmět: |
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| Zdroj: |
AIP Conference Proceedings; 2020, Vol. 2266 Issue 1, p1-11, 11p |
| Abstrakt: |
Dependence structure between financial assets plays an important role in risk management. This research investigates the dependence pattern between the stock market and the potential of cryptocurrency. We employed time- varying copula and Extreme Value Theory (EVT) to model the extreme dependence between the United States (US) index stock market (S&P500) and Bitcoin. Empirical results show risk diversification for holdings of the S&P500 and Bitcoin during extreme events seem to be effective. This paper contributes to a better understanding of the dependence structure of the financial market during extreme events. This information is useful for investors who are seeking for the cross-market diversification. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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