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Identifier |
000455149 |
Title |
Διερεύνηση των δυναμικών συσχετίσεων μεταξύ παραδοσιακών μορφών επενδύσεων και κρυπτονομισμάτων κατά τη διάρκεια σύγχρονων κρίσεων |
Alternative Title |
Investigation of the dynamic correlations between traditional forms of investment and cryptocurrencies during modern crises |
Author
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Μαϊδώνης, Δημήτριος
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Thesis advisor
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Γιαννέλλης Νικόλαος
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Reviewer
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Κουκουριτάκης Μίνωας
Αποστολάκης Γεώργιος
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Abstract |
This paper investigates the dynamic relationships between five major national stock indices (SP500, Nikkei225, FTSE100, DAX30 and CAC40), two precious metals (gold and silver) and the two cryptocurrencies with the largest market capitalization (Bitcoin and Ethereum). The purpose of this study is to draw conclusions regarding the impact of precious metals and cryptocurrencies on a portfolio composed of equity indices. The period considered starts from the beginning of the strong growth of the cryptocurrency markets (4 January 2017) to the time point of the econometric estimations (17 October 2022), while the estimations are repeated for the Covid-19 period (22 January 2020 to 17 October 2022) in order to detect the impact of the pandemic on the markets. The diagonal BEKK-GARCH methodology is used to better capture the evolution of the relationships over time. Econometric estimates show that during the Covid-19 crisis gold and silver are important hedgers and diversifiers of national stock indices. In normal periods, gold has a much weaker relationship with equity indices, while the impact of Bitcoin and Ethereum on markets is also evident. The French stock index is strongly influenced by the volatility of precious metals, which is not the case with the US, UK and Japanese indices. The investor is invited to use the conclusions of this research to select his portfolio, trying to find the balance between safety and high returns.
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Language |
Greek |
Subject |
Covid-19 |
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Cryptocurrencies |
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Dynamic relations |
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Gold |
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Silver |
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Stock Indices |
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Αργυρός |
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Δυμανικές σχέσεις |
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Κρυπτονομίσματα |
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Μετοχικοί δείκτες |
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Χρυσός |
Issue date |
2023 |
Collection
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School/Department--School of Social Sciences--Department of Economics--Post-graduate theses
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Type of Work--Post-graduate theses
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Permanent Link |
https://elocus.lib.uoc.gr//dlib/0/2/e/metadata-dlib-1683107141-54619-21579.tkl
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Views |
378 |