Upside and downside spillovers across crypto markets, technological stocks and green financial assets via copulas method.
Matus, Thibaut
Promotor(s) : Hambuckers, Julien
Date of defense : 4-Sep-2023/8-Sep-2023 • Permalink : http://hdl.handle.net/2268.2/18718
Details
Title : | Upside and downside spillovers across crypto markets, technological stocks and green financial assets via copulas method. |
Translated title : | [fr] Les répercussions positives et négatives sur les marchés des crypto-monnaies, les actions technologiques et les actifs financiers verts par le biais de la méthode des copules. |
Author : | Matus, Thibaut |
Date of defense : | 4-Sep-2023/8-Sep-2023 |
Advisor(s) : | Hambuckers, Julien |
Committee's member(s) : | Weyders, Pierre-François |
Language : | English |
Number of pages : | 91 |
Discipline(s) : | Business & economic sciences > Finance |
Institution(s) : | Université de Liège, Liège, Belgique |
Degree: | Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management |
Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[en] The goal of this thesis will be to understand and study the co-movements between 3 different types of assets: green financial assets, crypto currencies and technological stocks. These 3 types of assets have in common their current upward trend. Thanks to the analysis which will be done via the copula method proposed in Reboredo et al. (2016, JBF), we will find out whether an asset is a hedger or a diversifier with respect to the others. Moreover, this will allow us to understand the contradiction between the fact that the trend is up for crypto markets as well as for sustainable funds, yet their ethics are considerably different, between sustainability and speculation, between concern for the environment and excessive consumption of energy enabling blockchain transactions.
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