Author, as appears in the article.: Bejaoui, A; Frikha, W; Jeribi, A; Bariviera, AF
Department: Gestió d'Empreses
URV's Author/s: Fernández Bariviera, Aurelio
Keywords: 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
Abstract: 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.
Thematic Areas: 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
licence for use: https://creativecommons.org/licenses/by/3.0/es/
Author's mail: aurelio.fernandez@urv.cat
Author identifier: 0000-0003-1014-1010
Record's date: 2024-08-03
Papper version: info:eu-repo/semantics/publishedVersion
Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: Physica A-Statistical Mechanics And Its Applications. 619 128720-
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
Entity: Universitat Rovira i Virgili
Journal publication year: 2023
Publication Type: Journal Publications
Repositori URV