We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Analyzing time–frequency connectedness between cryptocurrencies, stock indices, and benchmark crude oils during the COVID-19 pandemic.
- Authors
Ghazani, Majid Mirzaee; Malekshah, Ali Akbar Momeni; Khosravi, Reza
- Abstract
We used daily return series for three pairs of datasets from the crude oil markets (WTI and Brent), stock indices (the Dow Jones Industrial Average and S&P 500), and benchmark cryptocurrencies (Bitcoin and Ethereum) to examine the connections between various data during the COVID-19 pandemic. We consider two characteristics: time and frequency. Based on Diebold and Yilmaz's (Int J Forecast 28:57–66, 2012) technique, our findings indicate that comparable data have a substantially stronger correlation (regarding return) than volatility. Per Baruník and Křehlík' (J Financ Econ 16:271–296, 2018) approach, interconnectedness among returns (volatilities) reduces (increases) as one moves from the short to the long term. A moving window analysis reveals a sudden increase in correlation, both in volatility and return, during the COVID-19 pandemic. In the context of wavelet coherence analysis, we observe a strong interconnection between data corresponding to the COVID-19 outbreak. The only exceptions are the behavior of Bitcoin and Ethereum. Specifically, Bitcoin combinations with other data exhibit a distinct behavior. The period precisely coincides with the COVID-19 pandemic. Evidently, volatility spillover has a long-lasting impact; policymakers should thus employ the appropriate tools to mitigate the severity of the relevant shocks (e.g., the COVID-19 pandemic) and simultaneously reduce its side effects.
- Subjects
COVID-19 pandemic; STOCK price indexes; PETROLEUM; DOW Jones industrial average; CRYPTOCURRENCIES; FINANCIAL futures; STANDARD &; Poor's 500 Index
- Publication
Financial Innovation, 2024, Vol 10, Issue 1, p1
- ISSN
2199-4730
- Publication type
Article
- DOI
10.1186/s40854-024-00645-z