We construct an exchange-traded fund(ETF)based on the CRyptocurrency IndeX(CRIX),which closely maps nonstationary cryptocurrency(CC)dynamics by adapting the weights of its constituents dynamically.Our scenario analysi...We construct an exchange-traded fund(ETF)based on the CRyptocurrency IndeX(CRIX),which closely maps nonstationary cryptocurrency(CC)dynamics by adapting the weights of its constituents dynamically.Our scenario analysis considers the fee schedules of regulated CC exchanges,spreads obtained from order book data,and investment in-&outflows to the ETF are modelled stochastically.The scenario analysis yields valuable insights into the mechanisms,costs,and risks of this innovative financial product:i)although the composition of the CRIX ETF changes frequently(from 5 to 30 constituents),it remains robust in its core,as the weights of Bitcoin(BTC)and Ethereum(ETH)are robust over time;ii)on average,5.2%needs to be rebalanced on the rebalancing dates;iii)trading costs are low compared with traditional assets;iv)the liquidity of the CC sector increases significantly during the analysis period;spreads occur,especially for altcoins and increase with the size of the transactions.However,because BTC and ETH are the most affected by rebalancing,the cost of spreads remains limited.展开更多
We examine technology ETF and uncertainty index(VIX,GVZ,and OVZ)spillover dynamics and quantile frequency interconnectedness across market states.This study is the first to use quantile-frequency spillover,quadruple w...We examine technology ETF and uncertainty index(VIX,GVZ,and OVZ)spillover dynamics and quantile frequency interconnectedness across market states.This study is the first to use quantile-frequency spillover,quadruple wavelet coherence,and wavelet quantile correlation methodologies to facilitate these analyses.The total connectedness index value is 70%,which is much higher in both the upper and lower quantiles.Under normal market conditions,short-term connectedness significantly exceeds long-term connectedness.Levels of ETF-uncertainty indicator connectedness increase under extreme market conditions;most technology ETFs are net spillover transmitters and uncertainty indices net spillover receivers,indicating the contagion risk of ETF investments.We show that while greater ETF-uncertainty index connectedness may benefit portfolio diversification,large fluctuations in technology EFTs can result in financial instability due to high market volatility.In the long term,the joint effects of uncertainty indices on ETFs are significant,with negative correlations between ETFs and uncertainties at different frequencies,supporting the potential role of uncertainty indices in hedging technology ETF portfolio risks.Dynamic portfolio rebalancing,scenario analysis,and stress testing may help to manage the effects of high connectedness.展开更多
基金Financial support from the Deutsche Forschungsgemeinschaft via the IRTG 1792"High-dimensional,Non-stationary Time Series",Humboldt-Universitätzu Berlin,is gratefully acknowledgedfunding from the European Union’s"FIN-TECH:A Financial supervision and Technology compliance training programme"under the Grant agreement No 825215.
文摘We construct an exchange-traded fund(ETF)based on the CRyptocurrency IndeX(CRIX),which closely maps nonstationary cryptocurrency(CC)dynamics by adapting the weights of its constituents dynamically.Our scenario analysis considers the fee schedules of regulated CC exchanges,spreads obtained from order book data,and investment in-&outflows to the ETF are modelled stochastically.The scenario analysis yields valuable insights into the mechanisms,costs,and risks of this innovative financial product:i)although the composition of the CRIX ETF changes frequently(from 5 to 30 constituents),it remains robust in its core,as the weights of Bitcoin(BTC)and Ethereum(ETH)are robust over time;ii)on average,5.2%needs to be rebalanced on the rebalancing dates;iii)trading costs are low compared with traditional assets;iv)the liquidity of the CC sector increases significantly during the analysis period;spreads occur,especially for altcoins and increase with the size of the transactions.However,because BTC and ETH are the most affected by rebalancing,the cost of spreads remains limited.
基金supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2024S1A5A2A01028034).
文摘We examine technology ETF and uncertainty index(VIX,GVZ,and OVZ)spillover dynamics and quantile frequency interconnectedness across market states.This study is the first to use quantile-frequency spillover,quadruple wavelet coherence,and wavelet quantile correlation methodologies to facilitate these analyses.The total connectedness index value is 70%,which is much higher in both the upper and lower quantiles.Under normal market conditions,short-term connectedness significantly exceeds long-term connectedness.Levels of ETF-uncertainty indicator connectedness increase under extreme market conditions;most technology ETFs are net spillover transmitters and uncertainty indices net spillover receivers,indicating the contagion risk of ETF investments.We show that while greater ETF-uncertainty index connectedness may benefit portfolio diversification,large fluctuations in technology EFTs can result in financial instability due to high market volatility.In the long term,the joint effects of uncertainty indices on ETFs are significant,with negative correlations between ETFs and uncertainties at different frequencies,supporting the potential role of uncertainty indices in hedging technology ETF portfolio risks.Dynamic portfolio rebalancing,scenario analysis,and stress testing may help to manage the effects of high connectedness.
