The cryptocurrency market has experienced stunning growth, with value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, stablecoins. Our results demonstrate that conditional correlations are time-varying, peaking during COVID-19 pandemic sell-off March 2020, both ARCH GARCH effe...

China’s introduction of CSI300 futures in 2010 has aroused widespread attention to whether the stock index futures market has effectively stabilized price fluctuations of its spot market in the past four years. Since the prices of CSI300 futures and CSI300 contain numerous noises and fluctuate drastically over time, this paper applies discrete wavelet transform to denoise these series by decomp...

The Multidimensional Scale of Irrational Beliefs (MSIB) is a brief and theoretically founded measure of irrational thinking as conceptualized by Albert Ellis in his most recent works on Rational Emotive Behavior Therapy (e.g., Ellis, 2003). With a total of 18 items, it captures demandingness, negative self-evaluation, and low frustration tolerance as the three core aspects of irrationality. Unl...

Bu çalışmanın amacı, dünya petrol, kömür ve doğal gaz fiyatlarındaki değişikliklerin düzeltilmemiş piyasa faiz oranına göre düzeltilmiş BIST elektrik endeksinin getirisine etkisinin 17 Mayıs 2010 – 29 2020 dönemi için araştırılmasıdır. Değişkenler arasındaki nedensellik ilişkisi Granger Nedensellik testi ile, oynaklık yayılımı ise GARCH (1,1) ADC BEKK yöntemleri ile incelenmiştir. Analiz bulgul...

Purpose This paper aims to study the co-movement dynamics of Islamic equity returns explain international portfolio diversification opportunities for investors having a heterogeneous stock holding period in light Brexit. Design/methodology/approach The authors use following three recent methodologies: multivariate generalised autoregressive conditional heteroskedastic-dynamic correlations, cont...