19 documents found, page 1 of 2

Volatility interdependencies of cryptocurrencies, gold, oil, and US stocks: qua...

The financial market is constantly affected by extreme events, such as the COVID-19 pandemic and the Russia-Ukraine war, which have significantly impacted commodity prices and market conditions. To better understand the behaviour of prices in different market situations, particularly at the bull and bear market states, this study investigates the interdependencies of volatility between cryptocurrencies, gold, o...

Information flow between asset classes during extreme events

The interconnectedness between asset classes becomes particularly relevant during extreme events, as market stress amplifies risk spillovers and impacts asset relationships, influencing risk transmission and financial market stability. While existing studies often examine financial interdependencies, including extended periods, they frequently focus on specific markets or asset classes, limiting the understandi...

Volatility interdependencies of cryptocurrencies, gold, oil, and US stocks: qua...

The financial market is constantly affected by extreme events, such as the COVID19 pandemic and the Russia-Ukraine war, which have significantly impacted commodity prices and market conditions. To better understand the behaviour of prices in different market situations, particularly at the bull and bear market states, this study investigates the interdependencies of volatility between cryptocurrencies, gold, oi...

Dynamic Cross-Correlation Between BRICS Markets, Commodities and Green Bonds

This paper evaluated the cross-correlation between the BRICS (Brazil, Russia, India, China and South Africa) markets with commodities and green bonds. For this purpose, the detrended moving-average cross-correlation coefficient (?DMCA) was used, based on a sliding windows approach, with data covering a sample before the COVID-19 pandemic, during the COVID-19 pandemic and after Russia invaded Ukraine. The result...

US Gasoline Prices: A Dynamic Persistence Analysis Under COVID-19 and Russia-Uk...

We examine the persistence of weekly U.S. gasoline retail prices from January 1995 to December 2023, with particular attention to the effects of the COVID-19 global pandemic and the Russia-Ukraine conflict. Our findings indicate that all gasoline prices exhibit persistent behavior, suggesting that shocks have prolonged impacts. This study addresses a gap in the understanding of U.S. gasoline price dynamics duri...

The use of transfer entropy to analyse the comovements of European Union stock ...

Understanding the linkages among stock markets holds great importance for investors, policymakers and portfolio managers. When considering the integration of international stock markets and given they are complex systems, it is important to understand how they are related and how they influéncé each other. Studying data from 25 European Union stock market indices, this piece of research aims to evaluate the dyn...

A new vision about the influence of major stock markets in CEEC indices: a bidi...

This research work aims to understand the dynamics of influence among CEEC stock market indices and between these and the US, German, UK and Chinese indices. Through a nonlinear approach, based on transfer entropy, we find strongly influential relationships between some CEEC indices and the influencing nature of the US index stands out. In addition to the complexity of causality relationships, which has a limit...

Non-Fungible Tokens (NFTs) and Cryptocurrencies: Efficiency and Comovements

Non-fungible tokens (NFTs) are a type of digital record of ownership used in a unique way: ensuring authenticity and uniqueness. Due to these characteristics, NFTs have been used in several markets: games, arts, and sports, among others. In 2020, the volume of negotiations of the NFTs was about USD 200 million. Despite the strong interest of economic agents in operating with NFTs, there are still gaps in the li...

The use of transfer entropy to analyse the comovements of European Union stock ...

Understanding the linkages among stock markets holds great importance for investors, policymakers and portfolio managers. When considering the integration of international stock markets and given they are complex systems, it is important to understand how they are related and how they influéncé each other. Studying data from 25 European Union stock market indices, this piece of research aims to evaluate the dyn...

Are Mobility and COVID-19 Related? A Dynamic Analysis for Portuguese Districts