NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic
In this paper, we analyze the connectedness between returns for non-fungible tokens (NFTs)
and other financial assets (equities, bonds, currencies, gold, oil, Ethereum) during the period …
and other financial assets (equities, bonds, currencies, gold, oil, Ethereum) during the period …
[HTML][HTML] Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis
Non-fungible tokens (NFTs) revolutionize crypto-landscape, becoming popular among
investors and general public. This first-ever study of coherence between returns of NFTs and …
investors and general public. This first-ever study of coherence between returns of NFTs and …
Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 …
J Cui, A Maghyereh - International Review of Financial Analysis, 2023 - Elsevier
This paper investigates the higher-order moment risk connectedness between West Texas
Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures …
Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures …
[HTML][HTML] Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic
This paper examines the connectedness among 12 African equity markets and the global
commodity, developed equity markets, paying particular attention to their evolution during …
commodity, developed equity markets, paying particular attention to their evolution during …
Return and volatility connectedness across global ESG stock indexes: evidence from the time-frequency domain analysis
J Wan, L Yin, Y Wu - International Review of Economics & Finance, 2024 - Elsevier
To comprehensively investigate information transmission and risk contagion among global
environmental, social, and governance (ESG) stock markets, this paper employs the TVP …
environmental, social, and governance (ESG) stock markets, this paper employs the TVP …
[HTML][HTML] Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
N Benlagha, S El Omari - Finance Research Letters, 2022 - Elsevier
This paper sets out to explore the impact of COVID-19 pandemic on the dynamic
connectedness among gold, oil and five leading stock markets by applying a new DCC …
connectedness among gold, oil and five leading stock markets by applying a new DCC …
Dynamic connectedness, spillover, and optimal hedging strategy among FinTech, Sukuk, and Islamic equity markets
The paper investigates the dynamic connectedness, spillover, and optimal hedging strategy
of the FinTech, Sukuk, and Islamic equity markets. The CAViaR approach, TVP-VAR …
of the FinTech, Sukuk, and Islamic equity markets. The CAViaR approach, TVP-VAR …
[HTML][HTML] Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday
SY Choi - The North American Journal of Economics and Finance, 2022 - Elsevier
We examine the volatility spillovers among various industries during the COVID-19
pandemic period. We measure volatility spillovers by defining the volatility of each sector in …
pandemic period. We measure volatility spillovers by defining the volatility of each sector in …
Multidimensional connectedness among the volatility of global financial markets around the Russian-Ukrainian conflict
This study investigates the impact of the Russo–Ukrainian war-induced uncertainty on
multidimensional connectedness measures across the volatility of global stock and …
multidimensional connectedness measures across the volatility of global stock and …
Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness …
This paper investigates the dynamic volatility spillover among energy commodities and
financial markets in pre-and mid-COVID-19 periods by utilizing a novel TVP-VAR frequency …
financial markets in pre-and mid-COVID-19 periods by utilizing a novel TVP-VAR frequency …