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Cryptocurrencies, fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve

Othman, Anwar Hasan Abdullah and Syed Jaafar Alhabshi, Syed Musa and Haron, Razali (2019) Cryptocurrencies, fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve. International Journal of Monetary Economics and Finance, 12 (2). pp. 75-97. ISSN 1752-0487

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Abstract

This study investigates whether symmetric and asymmetric volatility effects are persisted in the daily return series of Bitcoin currency compared to the gold and fiat money system using GARCH family models. The symmetric analysis shows that the three monetary systems exhibit time-varying volatility with high persistence and predictability behaviour whereas asymmetric analysis indicates that Bitcoin currency and gold are not significantly respond to asymmetric information effects in the financial markets however, the US dollar index is affected by the positive shocks. This suggesting Bitcoin and gold have the capability for hedging or safe-haven assets against market risk specifically during times of economic turmoil. Evidence suggests that cryptocurrency is a potential alternative to current fiat money system, offering benefit for policy makers and a good investment option for positional investors in terms of hedging, portfolio diversification strategy and risk management.

Item Type: Article (Journal)
Additional Information: 8713/72916
Uncontrolled Keywords: cryptocurrencies; gold; Fiat Money; volatility; ARCH and GARCH models; news impact curve
Subjects: H Social Sciences > HB Economic Theory > HB71 Economics as a science
H Social Sciences > HG Finance > HG201 Money
H Social Sciences > HG Finance > HG201 Money
Kulliyyahs/Centres/Divisions/Institutes: Institute of Islamic Banking & Finance (IIiBF)
Depositing User: Asst.Prof Anwar Hasan Abdullah Othman
Date Deposited: 27 Jun 2019 16:02
Last Modified: 27 Jun 2019 16:02
URI: http://irep.iium.edu.my/id/eprint/72916

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