Autor segons l'article: Bejaoui, A; Frikha, W; Jeribi, A; Bariviera, AF
Departament: Gestió d'Empreses
Autor/s de la URV: Fernández Bariviera, Aurelio
Paraules clau: Wavelet coherence Russia–ukraine war Gulf countries Financial connectedness Digital assets Covid-19 Brics Bitcoin wavelet coherence russia-ukraine war returns hedge gulf countries financial connectedness covid-19 coherence brics
Resum: This paper examines the dynamic connectedness between Gulf countries and BRICS stocks markets with a sample of cryptocurrencies, as well as two newly developed digital assets, namely NFT and DeFi, and Gold. The period under examination spans from January 2019 until September 2022. Our analysis is based on wavelet coherence, which is a suitable methodology considering the nonlinear dynamics present in data. Our empirical results clearly identify nontrivial time-varying connectedness between different assets and the stock markets. Asymmetric patterns in the interconnections of newly developed digital assets, cryptocurrencies, Gold and emerging market indices are well-documented, especially during the advent of the health and political events. Our empirical findings have relevant implications for portfolio managers, investors and researchers about portfolio allocation, investment strategies and potential diversification benefits of NFT and DeFi digital assets.
Àrees temàtiques: Statistics and probability Statistical and nonlinear physics Química Psicología Physics, multidisciplinary Physics Nutrição Medicina veterinaria Medicina ii Medicina i Materiais Matemática / probabilidade e estatística Linguística e literatura Interdisciplinar Geociências Farmacia Ensino Engenharias iv Engenharias iii Engenharias ii Engenharias i Educação física Economia Direito Condensed matter physics Ciências biológicas ii Ciências biológicas i Ciências ambientais Ciências agrárias i Ciência da computação Biotecnología Biodiversidade Astronomia / física Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
Accès a la llicència d'ús: https://creativecommons.org/licenses/by/3.0/es/
Adreça de correu electrònic de l'autor: aurelio.fernandez@urv.cat
Identificador de l'autor: 0000-0003-1014-1010
Data d'alta del registre: 2024-08-03
Versió de l'article dipositat: info:eu-repo/semantics/publishedVersion
URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
Referència a l'article segons font original: Physica A-Statistical Mechanics And Its Applications. 619 128720-
Referència de l'ítem segons les normes APA: Bejaoui, A; Frikha, W; Jeribi, A; Bariviera, AF (2023). Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis. Physica A-Statistical Mechanics And Its Applications, 619(), 128720-. DOI: 10.1016/j.physa.2023.128720
DOI de l'article: 10.1016/j.physa.2023.128720
Entitat: Universitat Rovira i Virgili
Any de publicació de la revista: 2023
Tipus de publicació: Journal Publications
Repositori URV