Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre &amp; post crisis

Vuković, Darko; Lapshina, Kseniya A.; Maiti, Moinak

doi:10.1016/j.najef.2021.101457

Cited by 24 publications

(11 citation statements)

References 58 publications

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“…To study the co-movement between the cryptocurrencies' daily returns, a wavelet coherence diagram was plotted using the "biwavelet" R package, similar to the studies of [60,61]. We analyzed the continuous co-movement between the pairs at different times and frequency domains using a wavelet coherence diagram.…”

Section: Wavelet Coherencementioning

confidence: 99%

COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

Vuković

Maiti

Grubišić³

et al. 2021

Sustainability

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The present study investigated whether the crypto market is a safe haven. The study argues that during the first wave of the COVID-19 crisis, gold and oil, as typical global commodities, could have been diversifiers. The study developed a unique COVID-19 global composite index that measures COVID-19 pandemic time-variant movements on each day. The study used OLS (ordinary least squares), quantile, and robust regressions to check whether the COVID-19 crisis has had any significant direct influence on the crypto market. The OLS, quantile, and robust regressions estimates confirmed that there was no statistically significant direct influence of the COVID-19 crisis on the crypto market in the first wave period. However, the study found spillovers from risky assets (S&P 500) on the crypto market, with Tether as an exception. Due to this special characteristic, Tether might present a safe haven within the crypto market.

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Section: Wavelet Coherencementioning

confidence: 99%

COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

Vuković

Maiti

Grubišić³

et al. 2021

Sustainability

Self Cite

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“…The novelty of this study is reflected in its suggestions to the Malaysian government and franchise-related agencies to create appropriate strategies, improve existing policies, and create effective franchising programs that can be sustained during a pandemic. Contribution 2 (Vukovic et al, 2021) focuses on the issues faced by global financial markets and cryptocurrencies, respectively, during the first wave of the COVID-19 crisis. The study analyzes the safety of the crypto market, developing a COVID-19 global composite index and applying ordinary least squares, quantile, and robust regressions models.…”

Section: Synthesis and Contributionsmentioning

confidence: 99%

“…We emphasize that the digitalization of the economy that occurred as a result of COVID-19 restrictions should be used to our advantage [3]. Before the COVID-19 pandemic, numerous studies had attempted to analyze the impact of crisis on financial markets [4,5] and forecast possible consequences [6]. The current pandemic has motivated many scholars to analyze new models and their applications; 2.…”

Section: Future Directionsmentioning

confidence: 99%

Sustainable Economy in Light of COVID-19

2022

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“…The recent development of new statistical/econometrics methods suitable for quantifying these dynamics and advancement in computational power has resulted in a rapid expansion of the empirical finance literature in this area. Most of this research makes use of different time series models such as VAR-SVAR (Luu Duc Huynh 2019); nonlinear model (Zhang and Wu 2019;Maiti et al 2020b;Peng et al 2020;Li et al 2020); multi-quantile VaR (Deng et al 2021); time-varying robust model (Pham and Cepni 2022); copula-based models (Dastgir et al 2019;Jang et al 2022;Kim et al 2020;She et al 2019); wavelet-based (Maiti et al 2020a;Maiti 2021;Vukovic et al 2021a;Li et al 2021;Maiti et al 2022;Adebayo 2022), etc. Compared to all these methods, we use a completely different approach in this study.…”

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric Information Flow between Exchange Rate, Oil, and Gold: New Evidence from Transfer Entropy Approach

Maiti¹,

Kayal

2022

JRFM

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The present study used transfer entropy and effective transfer entropy to examine the asymmetric information flow between exchange rates, oil, and gold. The dataset is composed of daily data covering the period of 1 January 2018 to 31 December 2021. Further, the dataset is bifurcated for analysis for before and during COVID. The bidirectional information flow is observed between EUR/USD and Oil for the whole study period unlike before COVID. However, during COVID, there was a unidirectional information flow from OilàEUR/USD. The study finds a significant unidirectional information flow from GoldàEUR/USD. The study estimates also indicate that before COVID, the direction of information flow was from OilàGold. However, the direction of information flow reversed during COVID from GoldàOil. Overall, the direction of information flow among these three variables is asymmetric. The highest transfer entropy was observed for GoldàEUR/USD among all the pairs under consideration.

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Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis

Cited by 24 publications

References 58 publications

COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

Sustainable Economy in Light of COVID-19

Asymmetric Information Flow between Exchange Rate, Oil, and Gold: New Evidence from Transfer Entropy Approach

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