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

【Author】 Bejaoui, Azza; Frikha, Wajdi; Jeribi, Ahmed; Bariviera, Aurelio F.

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【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. & COPY; 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).

【Keywords】Digital assets; Gulf countries; BRICS; Wavelet coherence; Financial connectedness; Covid-19; Russia-Ukraine war

【发表时间】2023 1-Jun

【收录时间】2023-08-20

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