Sovereign bond yield and cryptocurrency returns within the frontier West African monetary zone: a dynamic contagion analysis
Year: 2025
Type: article
Abstract: This study employs wavelet analysis to examine the contagion between cryptocurrency returns and sovereign bond yields within the West African Monetary Zone (WAMZ) economies, capturing both the frequency-dependent nature of the relationship and time-varying behavior. We analyze daily data spanning 01/26/2021 to 10/07/2022, with a total observable value of 444. The study selected periods of uncertainty within financial markets, namely, the COVID-19 pandemic and the Russia–Ukraine war because there was a need to understand how securities react during such times to help investors plan accordingly. Our results show a negative correlation between sovereign bond yields and cryptocurrency returns, suggesting that investors can use these asset classes as hedge agents, diversifiers, and safe-haven instruments. These findings provide valuable insights for investors and policymakers, shedding light on the potential interdependencies and diversification benefits between these two asset classes.
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $1,890
OpenAlex ID: W4408310164