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Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies

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  • Nikolaos A. Kyriazis

    (University of Thessaly)

Abstract

This paper sets out to explore the nexus between cryptocurrencies connected to cannabis production and the three highest capitalization digital currencies. Daily data are employed that cover the period 26 October 2017–3 January 2020. Generalized autoregressive schemes in the form of GARCH, EGARCH, TGARCH and GJR-GARCH are adopted in order to study volatility characteristics. Findings reveal that GARCH and GJR-GARCH specifications are most appropriate in the majority of cases. This reveals the existence of thresholds in the volatility of cannabis cryptocurrencies when examining their nexus with major digital currencies. This renders them riskier but also more attractive to speculators. Thereby, they abide by the overall character of such innovative forms of liquidity and investment. Overall, evidence indicates that Bitcoin presents medium to strong positive linkage with cannabis cryptocurrencies while Ripple is the most weakly connected to them. Thereby, none of the major digital currencies under scrutiny can serve as efficient hedger against cannabis cryptocurrencies.

Suggested Citation

  • Nikolaos A. Kyriazis, 2021. "Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 845-861, December.
    • Handle: RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00356-5
    DOI: 10.1007/s10203-021-00356-5
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    Cited by:

    1. Alessandra Cretarola & Gianna Figà-Talamanca & Cyril Grunspan, 2021. "Blockchain and cryptocurrencies: economic and financial research," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 781-787, December.

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    More about this item

    Keywords

    Cannabis cryptocurrency; Bitcoin; Ethereum; Ripple; Diversifying; Hedging;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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