Articles producció científica> Gestió d'Empreses

Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis

  • Datos identificativos

    Identificador: imarina:9295249
    Autores:
    Bejaoui, AFrikha, WJeribi, ABariviera, AF
    Resumen:
    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.
  • Otros:

    Autor según el artículo: Bejaoui, A; Frikha, W; Jeribi, A; Bariviera, AF
    Departamento: Gestió d'Empreses
    Autor/es de la URV: Fernández Bariviera, Aurelio
    Palabras clave: 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
    Resumen: 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.
    Áreas temáticas: 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
    Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
    Direcció de correo del autor: aurelio.fernandez@urv.cat
    Identificador del autor: 0000-0003-1014-1010
    Fecha de alta del registro: 2024-08-03
    Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
    URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referencia al articulo segun fuente origial: Physica A-Statistical Mechanics And Its Applications. 619 128720-
    Referencia 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
    Entidad: Universitat Rovira i Virgili
    Año de publicación de la revista: 2023
    Tipo de publicación: Journal Publications
  • Palabras clave:

    Condensed Matter Physics,Physics,Physics, Multidisciplinary,Statistical and Nonlinear Physics,Statistics and Probability
    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
    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
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