Work

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

Year: 2023

Type: article

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.

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2023.128720

Authors: Azza Bejaoui, Wajdi Frikha, Ahmed Jeribi, Aurelio F. Bariviera

Institutions: University of Sfax, Faculty of Economics and Management of Sfax, Universitat Rovira i Virgili

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,110

OpenAlex ID: W4362452273

FWCI: 16.32

Cites: 60

Cited by: 80

Related to: 10