Now showing items 1-7 of 7

    • The development of Bitcoin futures: exploring the interactions between cryptocurrency derivatives 

      Akyıldırım, E.; Corbet, S.; Katsiampa, P.; Kellard, N.; Şensoy, Ahmet (Elsevier, 2020)
      We utilise a high-frequency analysis to investigate the period surrounding the establishment of two new futures contracts based on the performance of Bitcoin. Our analysis shows that there have been significant pricing ...
    • The financial market effects of international aviation disasters 

      Akyıldırım, E.; Corbet, S.; Efthymiou, M.; Guiomard, C.; O'Connell, J. F.; Şensoy, Ahmet (Elsevier, 2020)
      The spread of misinformation with regards to aviation disasters continues to be a point of concern for aviation companies. Much of this information usually surrounds speculation based on the cause and responsibility ...
    • The impact of blockchain related name changes on corporate performance 

      Akyıldırım, E.; Corbet, S.; Şensoy, Ahmet; Yarovaya, L. (Elsevier, 2020)
      This paper examines the impact of blockchain and crypto-related name changes on corporate and financial performance of the corporations. We document several pieces of evidence suggesting that companies who partake in such ...
    • Prediction of cryptocurrency returns using machine learning 

      Akyıldırım, E.; Goncu, A.; Şensoy, Ahmet (Springer, 2020-04)
      In this study, the predictability of the most liquid twelve cryptocurrencies are analyzed at the daily and minute level frequencies using the machine learning classification algorithms including the support vector machines, ...
    • The relationship between implied volatility and cryptocurrency returns 

      Akyıldırım, E.; Corbet, S.; Lucey, B.; Şensoy, Ahmet; Yarovaya, L. (Elsevier, 2020)
      We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. ...
    • Riding the wave of crypto-exuberance: the potential misusage of corporate blockchain announcements 

      Akyıldırım, E.; Corbet, S.; Cumming, D.; Lucey, B.; Şensoy, Ahmet (Elsevier, 2020)
      Cryptocurrencies have been broadly scrutinised in recent times for a host of concerning regulatory and cybercriminality issues. Although steps have been taken to promote regulatory sufficiency in the near future, we examine ...
    • A tale of two risks in the EMU sovereign debt markets 

      Akyıldırım, E.; Nguyen, D. K.; Şensoy, Ahmet (Elsevier B.V., 2018-09)
      We introduce time-varying systematic yield risk (SYR) and systematic liquidity risk (SLR) measures for sovereign bond markets of the major European Monetary Union (EMU) country members. Using daily sovereign bond data, our ...