Author, as appears in the article.: Frikha, Wajdi; Bejaoui, Azza; Bariviera, Aurelio F.; Jeribi, Ahmed
Department: Gestió d'Empreses
URV's Author/s: Fernández Bariviera, Aurelio
Keywords: 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
Abstract: 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.
Thematic Areas: Strategy and management Sociología Economics, econometrics and finance (miscellaneous) Ciências ambientais Business, finance Accounting
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
Link to the original source: https://www.mdpi.com/2227-9091/12/3/47
Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: Risks. 12 (3): 47-
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
Article's DOI: 10.3390/risks12030047
Entity: Universitat Rovira i Virgili
Journal publication year: 2024
Publication Type: Journal Publications
Repositori URV