Examinando por Materia "Volatilidad de activos"

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    Efecto de la quiebra del Silicon Valley Bank en la volatilidad del mercado de criptomonedas y su posible papel como activo refugio en tiempos de incertidumbre
    (Universidad EAFIT, 2023) Bohórquez Arango, Camilo; Villegas Restrepo, Rubén Santiago; Botero Ramírez, Juan Carlos
    The objective of this paper is to analyze the role that cryptocurrencies markets have been exerting on financial markets. Specifically, it analyzes the impact that the bankruptcy of Silicon Valley Bank had on both the cryptocurrency market and the stock market in order to determine whether cryptocurrencies can be considered a safe-haven asset in times of high uncertainty. The methodology consisted of building up a cryptocurrency index using a back-testing and weighting methodology by market capitalization, in order to make a comparison with the stock market. Subsequently, several statistical tests were performed to determine whether the collected data were normally distributed or autocorrelated. Finally, through a time window analysis, the impact that the bank’s bankruptcy had on both markets was analyzed, comparing volatilities as well as returns prior to the day of the event, during the event and after it.