Professor Kočenda published an article in the prestigious journal Financial Innovation

The study presents an in-depth analysis of the connectedness in returns among five major cryptocurrencies over a span from late 2017 to 2023. The manuscript introduces novel insights by employing a recently developed bootstrap-after-bootstrap method of Greenwood-Nimmo et al. (Econ Model, 140, 106843, 2024) to establish a statistically significant link between increases in connectedness and various systematic events. The authors find that major events—including both market and policy-driven shocks—trigger substantial increases in connectedness, with transmission effects persisting for up to one month. For the period under research, they identify Bitcoin and Ethereum as net return transmitters, mainly to Binance coin and Ripple. Moreover, the authors find that these transmissions increased by up to 20% for up to 1 month after the shocks. Furthermore, the authors incorporate event-driven adjustments into portfolio optimization, quantifying optimal asset-weight rebalancing in response to cryptocurrency market shocks. The findings reveal that during the research period, Cardano and Ripple were the most effective choices in portfolio optimization. The implications of this study are significant for devising strategies in portfolio management and risk hedging, offering valuable guidance for policy formulation in the financial sector.