Narrow Results

This paper investigates whether the momentum effect exists in the NYSE energy sector. Momentum is defined as the strategy that buys (sells) these stocks that are best (worst) performers, over a pre-specified past period of time (the 'look-back' period), by constructing equally weighted portfolios. Different momentum strategies are obtained by changing the number of stocks included in these portfolios, as well as the look-back period. Next, their performance is compared against two benchmarks: the equally weighted portfolio consisting of most stocks in the NYSE energy index and the market portfolio, and the S&P500 index. The results indicate that the momentum effect is strongly present in the energy sector, and leads to highly profitable portfolios, improving the risk-reward measures and easily outperforming both benchmarks.

This paper examines the nonlinear (NL) asymmetric long- and short-run interconnections between energy indices (S&P 500-ENERGY, MSCI-CHINA, and MSCI-WORLD) and the crypto (Bitcoin) market. The daily data have been used from January 1, 2013, to February 24, 2023, archived from the wind database. We use a nonlinear autoregressive distributed lag (NARDL) framework for the research to be empirical. The NARDL test reveals the presence of a nonlinear asymmetric relationship, both in the long-run and short-run, among the MSCI-China, MSCI-World, S&P500-ENERGY indices, and the price of Bitcoin. The S&P 500 energy index and Bitcoin price have an inverse asymmetric connection. The prices of Bitcoin are positively influenced by both positive and negative shifts in the MSCI-CHINA and MSCI-WORLD indices. Overall, this study underscores the growing significance of the cryptocurrency market as a hedge against risks, offering evidence that Bitcoin can be perceived as a safe haven amidst the turbulence of the energy market. This insight holds implications for Bitcoin investors, suggesting its potential as a refuge in times of energy market instability.