Dynamic spillovers between natural gas and BRICS stock markets during health and political crises

Dhoha, Mellouli; Dammak, Wael; Alnafisah, Hind; Jeribi, Ahmed

doi:10.1007/s40822-023-00254-8

Eurasian Econ Rev

2024

DOI: 10.1007/s40822-023-00254-8

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Dynamic spillovers between natural gas and BRICS stock markets during health and political crises

Mellouli Dhoha,

Wael Dammak,

Hind Alnafisah

et al.

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2024

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Cited by 2 publications

References 75 publications

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How do risk shocks reshape the spillovers among the oil, gold, emerging, and developed markets? Evidence from a new TVP-VAR-based wavelet coherence framework

Zhao,

Li,

Yang

et al. 2024

Applied Economics

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How do risk shocks reshape the spillovers among the oil, gold, emerging, and developed markets? Evidence from a new TVP-VAR-based wavelet coherence framework

Zhao,

Li,

Yang

et al. 2024

Applied Economics

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Investigating the Impact of Geopolitical Risks and Uncertainty Factors on Bitcoin

Rodrigues,

Golitsis,

Gkasis

2024

TEL

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With the rise of cryptocurrencies and their appeal as alternative investment assets, this study, using daily and weekly data from early 2015 to late 2023, aims to analyze the influence of economic and geopolitical uncertainty factors on cryptocurrencies, particularly Bitcoin, and forecast their volatility using GARCH, EGARCH, and GJR-GARCH models. Our findings reveal that the Geopolitical Acts Index (GPAs), the U.S. Economic Policy Uncertainty Index (EPU), and the Volume of Bitcoin transactions exhibit a positive significant impact on its returns, whereas the Cryptocurrency Uncertainty Index (UCRY), S&P 500, and Volatility Index (VIX) demonstrate a negative one. Furthermore, by decomposing geopolitical turbulence into Geopolitical Risks (GPRs) and Threats (GPTs), these variables were found to be less significant compared to Geopolitical Acts. Finally, the asymmetry analysis (leverage effects) reflects on how negative shocks exhibit a greater influence than positive ones on Bitcoin returns, indicating that adverse news in the media tends to impact the cryptocurrency returns more profoundly. Our conclusions contribute to the existing literature by exploring the role that Bitcoin, and cryptocurrencies in general, play as investment assets, when taking into consideration the volatility they entail, especially following negative shocks in an economy.

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Dynamic spillovers between natural gas and BRICS stock markets during health and political crises

Cited by 2 publications

References 75 publications

How do risk shocks reshape the spillovers among the oil, gold, emerging, and developed markets? Evidence from a new TVP-VAR-based wavelet coherence framework

How do risk shocks reshape the spillovers among the oil, gold, emerging, and developed markets? Evidence from a new TVP-VAR-based wavelet coherence framework

Investigating the Impact of Geopolitical Risks and Uncertainty Factors on Bitcoin

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