Autor segons l'article: Frikha, Wajdi; Bejaoui, Azza; Bariviera, Aurelio F.; Jeribi, Ahmed
Departament: Gestió d'Empreses
Autor/s de la URV: Fernández Bariviera, Aurelio
Paraules clau: Wavelet analysis Volatility spillovers Time Silicon valley bank Safe haven Russia-ukraine war Returns Quantile Prices Oil Linkages G1 Emission Connectedness Comovements Commodities C5 C22
Resum: This paper analyzes the connectedness between gold, wheat, and crude oil futures, Bitcoin, carbon emission futures, and international stock markets in the G7, BRICS, and Gulf regions with the outbreak of exogenous and unexpected shocks related to health, banking, and political crises. To this end, we use a wavelet-based method on the returns of different assets during the period 2 January 2019, to 21 April 2023. The empirical findings show that the existence of time-varying linkages between markets is well documented and appears stronger during the COVID-19 pandemic. However, it seems to diminish for some associations with the advent of the Russia-Ukraine War. The empirical results also show that investor risk perceptions measured by the VIX are negatively and substantially linked to stock markets in different regions. Other interesting findings emerge from the connectedness analysis with the outbreak of Silicon Valley bankruptcy. In particular, Bitcoin tends to regain its role as a safe-haven asset against some G7 stock markets during the bank crisis. Such findings can provide valuable insights for investors and policymakers concerning the relationship between different markets during different crises.
Àrees temàtiques: Strategy and management Sociología Economics, econometrics and finance (miscellaneous) Ciências ambientais Business, finance Accounting
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
Enllaç font original: https://www.mdpi.com/2227-9091/12/3/47
URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
Referència a l'article segons font original: Risks. 12 (3): 47-
Referència de l'ítem segons les normes APA: Frikha, Wajdi; Bejaoui, Azza; Bariviera, Aurelio F.; Jeribi, Ahmed (2024). What Matters for Comovements among Gold, Bitcoin, CO2, Commodities, VIX and International Stock Markets during the Health, Political and Bank Crises?. Risks, 12(3), 47-. DOI: 10.3390/risks12030047
DOI de l'article: 10.3390/risks12030047
Entitat: Universitat Rovira i Virgili
Any de publicació de la revista: 2024
Tipus de publicació: Journal Publications