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This paper aims to investigate the effects of volatility transmission among Bitcoin and other leading cryptocurrencies, namely, Binance USD, BNB, Cardano, Dogecoin, Ethereum, Polkadot, Polygon, Solana, Tether, USD Coin and XRP.

The multivariate BEKK-GARCH model is used with the daily data set from 1 January 2017 to 31 March 2023. The data set is analysed in its entirety and is also the COVID-19 epidemic period.

The study reveals that while the volatility of cryptocurrency prices is influenced by their own historical shocks and volatility, there is proof of the effects shock transmission among Bitcoin and other notable cryptocurrencies. Furthermore, the authors identify the spillover effects of volatility among all 11 pairs and provide evidence that conditional correlations with varying time constants are present, and predominantly positive for both the entire and COVID-19 outbreak periods.

The findings will be helpful to market experts who want to avoid losses in traditional assets. To develop the best risk management and hedging strategies, businesses might use the information to build asset portfolios or personalise payment methods. The use of such data by investors and portfolio managers could aid in the development of investment opportunities, risk insurance plans or hedging strategies for the management of financial portfolios.

To the best of the authors’ knowledge, the use of the BEKK-GARCH model for examining the effects of volatility spillover among Bitcoin and the other eleven top cryptocurrencies has not been previously documented.

This study aims to investigate whether the zero-investment portfolio strategy generates higher excess returns for all listed companies in the Stock Exchange of Thailand (SET) or ESG100 stocks. The study period is from January 2016 to December 2020, a total of 60 months. The dividend yield is employed for categorizing the stock into value and growth stocks. The strategy of buying value stocks and short-selling growth stocks is then applied. The results show that investing using the zero-investment portfolio strategy can generate higher returns in an investment portfolio that consists of ESG100 stocks than in an investment portfolio that consists of all stocks in the SET. The optimal holding periods for investing in portfolios that consist of stocks in the SET are 6 months, 9 months, and 12 months, and the optimal holding periods for a portfolio that consists of ESG100 stocks is 6 months. To explain excess returns of stocks in the SET, the Fama and French (2015) five-factor model is employed. There is no relation between risk factors and excess returns for the holding period of 6 months and 12 months. However, excess return is found to have a negative relation with the market risk premium factor for a 9-month holding period. The excess returns of ESG100 stocks are also inversely correlated with investment factors for a holding period of 6 months.