Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets

Efe Cagli and Pinar Evrim Mandaci

Emerging Markets Review, 2023, vol. 55, issue C

Abstract: This paper examines the connectedness of uncertainty in cryptocurrency, stock, currency, and commodity markets. We use the novel news-based cryptocurrency uncertainty indices of Lucey et al. (2021) and global implied volatility indices as uncertainty proxies for stock, currency, energy, and precious metals markets. We analyze weekly data between January 2014 and May 2021, employing the time and frequency connectedness measures of Diebold and Yilmaz (2012) and Baruník and Křehlík (2018). Our results show a low degree of uncertainty connectedness between cryptocurrency and other markets. The results imply long-term diversification opportunities and highlight the distinct dynamics of the cryptocurrency markets.

Keywords: Uncertainty; Cryptocurrency; Connectedness; Frequency dynamics (search for similar items in EconPapers)
JEL-codes: C32 D80 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000249

DOI: 10.1016/j.ememar.2023.101019

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