Autor segons l'article: Frikha, Wajdi; Bejaoui, Azza; Bariviera, Aurelio; Jeribi, Ahmed
Departament: Gestió d'Empreses
Autor/s de la URV: Fernández Bariviera, Aurelio
Paraules clau: C22 C5 Commodities Comovements Connectedness Emission G1 Linkages Oil Prices Quantile Returns Russia-ukraine war Safe haven Silicon valley bank Time Volatility spillovers Wavelet analysis
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: Accounting Business, finance Ciências ambientais Economics, econometrics and finance (miscellaneous) Sociología Strategy and management
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: 2024-06-28
Versió de l'article dipositat: info:eu-repo/semantics/publishedVersion
Enllaç font original: https://www.mdpi.com/2227-9091/12/3/47
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; Jeribi, Ahmed (2024). What Matters for Comovements among Gold, Bitcoin, CO<sub>2</sub>, Commodities, VIX and International Stock Markets during the Health, Political and Bank Crises?. Risks, 12(3), 47-. DOI: 10.3390/risks12030047
URL Document de llicència: http://repositori.urv.cat/ca/proteccio-de-dades/
DOI de l'article: 10.3390/risks12030047
Entitat: Universitat Rovira i Virgili
Any de publicació de la revista: 2024
Tipus de publicació: info:eu-repo/semantics/article
Repositori URV