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Insights into the dynamics of market efficiency spillover of financial assets in different equity markets

Min-Jae Lee and Sun-Yong Choi

Physica A: Statistical Mechanics and its Applications, 2024, vol. 641, issue C

Abstract: This paper provides multidisciplinary insights into the dynamics of market efficiency spillover of financial assets, considering Bitcoin, DXY (U.S. Dollar Index), S&P 500, and crude oil in different equity markets. Given this, we employ the multifractal detrended fluctuation analysis (MF-DFA) and the time-varying parameter vector autoregressive models (TVP-VAR) to illuminate these complex interplays between these assets and other equity markets. Our findings display that Bitcoin acts as a net transmitter, whereas DXY functions as a net receiver. Additionally, Bitcoin, DXY, and S&P 500 clearly exhibit dynamics in information transmission, whereas crude oil does not. It means that the low connectedness of the oil market in terms of market efficiency spillover, suggesting that the oil market may play an effective role as a hedging instrument for other assets.

Keywords: Market efficiency; MF-DFA; TVP-VAR spillover framework; Bitcoin; DXY; Crude oil; S&P 500 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:641:y:2024:i:c:s0378437124002280

DOI: 10.1016/j.physa.2024.129719

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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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