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

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...

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Main Authors:	Othman, Anwar Hasan Abdullah, Syed Jaafar Alhabshi, Syed Musa, Haron, Razali
Format:	Article
Language:	English English
Published:	Inderscience Publishers 2019
Subjects:	HB71 Economics as a science HG201 Money
Online Access:	http://irep.iium.edu.my/72916/ http://irep.iium.edu.my/72916/ http://irep.iium.edu.my/72916/ http://irep.iium.edu.my/72916/1/72916_Cryptocurrencies%2C%20Fiat%20money%20or%20gold%20standard.pdf http://irep.iium.edu.my/72916/7/72916-Cryptocurrencies%2C%20fiat%20money%20or%20gold%20standard%20an%20empirical%20evidence%20from%20volatility%20structure%20analysis-scopus.pdf

id	iium-72916
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spelling	iium-729162020-02-20T01:16:56Z http://irep.iium.edu.my/72916/ Cryptocurrencies, fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve Othman, Anwar Hasan Abdullah Syed Jaafar Alhabshi, Syed Musa Haron, Razali HB71 Economics as a science HG201 Money 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. Inderscience Publishers 2019-06-18 Article PeerReviewed application/pdf en http://irep.iium.edu.my/72916/1/72916_Cryptocurrencies%2C%20Fiat%20money%20or%20gold%20standard.pdf application/pdf en http://irep.iium.edu.my/72916/7/72916-Cryptocurrencies%2C%20fiat%20money%20or%20gold%20standard%20an%20empirical%20evidence%20from%20volatility%20structure%20analysis-scopus.pdf 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 E-ISSN 1752-0479 https://www.inderscience.com/info/inarticle.php?artid=100262&fbclid=IwAR2H3tnMYYu8TOOt6pVpQ5UzKLEO0MV1a5t8tC3Xujqn9JhNsDheIIrCbjE 10.1504/IJMEF.2019.10019878
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HB71 Economics as a science HG201 Money
spellingShingle	HB71 Economics as a science HG201 Money Othman, Anwar Hasan Abdullah Syed Jaafar Alhabshi, Syed Musa Haron, Razali Cryptocurrencies, fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve
description	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.
format	Article
author	Othman, Anwar Hasan Abdullah Syed Jaafar Alhabshi, Syed Musa Haron, Razali
author_facet	Othman, Anwar Hasan Abdullah Syed Jaafar Alhabshi, Syed Musa Haron, Razali
author_sort	Othman, Anwar Hasan Abdullah
title	Cryptocurrencies, fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve
title_short	Cryptocurrencies, fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve
title_full	Cryptocurrencies, fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve
title_fullStr	Cryptocurrencies, fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve
title_full_unstemmed	Cryptocurrencies, fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve
title_sort	cryptocurrencies, fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve
publisher	Inderscience Publishers
publishDate	2019
url	http://irep.iium.edu.my/72916/ http://irep.iium.edu.my/72916/ http://irep.iium.edu.my/72916/ http://irep.iium.edu.my/72916/1/72916_Cryptocurrencies%2C%20Fiat%20money%20or%20gold%20standard.pdf http://irep.iium.edu.my/72916/7/72916-Cryptocurrencies%2C%20fiat%20money%20or%20gold%20standard%20an%20empirical%20evidence%20from%20volatility%20structure%20analysis-scopus.pdf
first_indexed	2023-09-18T21:43:23Z
last_indexed	2023-09-18T21:43:23Z
_version_	1777413289330868224

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

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