On the dynamic connectedness between the G7 stock market indices and different asset classes: Fresh insights from the COVID-19 pandemic and Russia–Ukraine war

被引：0

作者：

Azza Bejaoui

Wajdi Frikha

Ahmed Jeribi

机构：

[1] Higher School of Commerce of Tunis, Manouba University, Manouba

[2] Faculty of Economics and Management of Sfax, Sfax

[3] Faculty of Economics and Management of Mahdia, Mahdia

来源：

SN Business & Economics | / 3卷 / 11期

关键词：

Bitcoin; Gold; Russia–Ukraine war; Safe haven; Stablecoin; Wavelet analysis;

D O I：

10.1007/s43546-023-00562-w

中图分类号：

学科分类号：

摘要：

In this paper, we attempt to examine the dynamic relationship between the G7 stock markets and other assets during the outbreak of the health and political crises. To this end, we apply the wavelet methods on daily prices of the G7 stock indices, gold, cryptocurrencies, and stablecoin over the period 02/01/2019–18/04/2022. The empirical findings clearly show a significant coherence among different assets. Different lead–lag relationships are detected during various time horizons with the outbreak of political and health crises. In particular, Tether leads the G7 stock market indices whereas other assets move with and are driven by the G7 market indices. This can highlight their inability to play as safe havens during the advent of health and political crises, except for the stablecoin to some extent. Such findings can have insightful implications from portfolio perspectives. © The Author(s), under exclusive licence to Springer Nature Switzerland AG 2023.

引用

共 55 条

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