Analyzing time-frequency connectedness between cryptocurrencies,stock indices,and benchmark crude oils during the COVID-19 pandemic  

作　　者：Majid Mirzaee Ghazani Ali Akbar Momeni Malekshah Reza Khosravi 

机构地区：[1]Department of Industrial Engineering,K.N.Toosi University of Technology,Tehran,Iran

出　　处：《Financial Innovation》2024年第1期939-966,共28页金融创新(英文)

摘　　要：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.

关 键 词：TIME-FREQUENCY COVID-19 Wavelet coherence SPILLOVER VOLATILITY 

分 类 号：F41[经济管理—产业经济]