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Item type: Item , What is the relationship between digitalization and profitability of banks in the Eurozone, and how is it moderated by corporate sustainability?: A two-step approach to analyzing digitalization in the banking sector(2022) Paffrath, Ann Kathrin; Scheck, PolIn recent years, banks in the Eurozone have been facing a challenging market en- vironment causing them to struggle with profitability. In an attempt to improve performance, many banks have indulged in digitalization strategies. However, it is still unclear to what extent digitalization efforts drive profitability. This paper inves- tigates as a first step the relationship between digitalization and profitability in the banking sector. As a second step, the moderating effect of corporate sustainability is examined. Using a sample of 54 listed banks within the Eurozone over the period 2012-2021, we determine a cost-efficiency frontier to retrieve the technological gap for each bank per year. Through innovation, banks can reduce the technological gap. Because innovation in the banking sector is mainly caused by technological change, the sustained improvement of the technological gap is taken as a proxy for digitalization. Regressing digitalization on the profitability measurements ROE and ROA shows that digitalization does not have a consistently significant correlation with bank profitability. This indicates that without other factors, banks face a profitability paradox in the sense that digitalization is not a guarantee for improved profitability. However, including different corporate sustainability metrics in the regression, it appears that the controversies score acts as a moderator. Consequently, this in- dicates that banks can materialize their digitalization efforts by being involved in fewer controversies and hence improving their reputation and customer trust.Item type: Item , Correlation of cryptocurrencies: a dynamic investigation(2021) Torres Stienissen, AnnickThe research line of this paper aims to capture and detect contagion between Bitcoin and the main factors that could have an impact on Bitcoin such as; Ethereum, Ripple, S&P 500, MSCIWorld, MSCIEM50, Gold, VIX, FSI, and new daily cases and deaths due to Covid-19. For such purpose, the paper has been structured in three parts. The first part, aimed to detect the change points in variance from 01/11/2019 to 31/03/2021 using daily data. Main results suggested that Bitcoin change points were: 07/03/2020, 11/03/2020, and 20/03/2020. For Ethereum were: 07/03/2020 and 20/03/2020, and for Ripple were: 7/12/2020, 20/12/2020, and 08/01/2021. These dates coincide with the announcement of COVID-19 virus as a global pandemic (11/03/2020) and the third wave (December 2020 to the 8 of January, 2021). In the second part of the analysis a DCC-MGARCH model was implemented, in which the persistence of volatility, co-movement, and conditional correlation were studied between the different cryptocurrencies and, between Bitcoin, the Equity Indices and Gold. Main results suggested that cryptocurrencies are positively correlated while no correlations were found between Bitcoin and the Equity Indices, nor Bitcoin and Gold. Finally, a Johansen test was done to identify co-integration relationships between Bitcoin, the S&P 500, VIX, FSI and the Covid-19 variables. No co-integration relationships were found. Finally, a Granger causality test was performed among the variables. Main results suggested that the S&P 500 was Granger causing Bitcoin, as well as the VIX. Daily new deaths was Granger causing Bitcoin and new daily cases due to Covid-19. Finally, a relationship was found between new daily cases and new daily deaths.