Does news related to digital economy and central bank digital currency affect digital economy ETFs? Evidence from TVP-VAR connectedness and wavelet local multiple correlation analyses

Mohammad Enamul Hoque, Syed Billah, Md Rafayet Alam and Brian Lucey

Global Finance Journal, 2024, vol. 61, issue C

Abstract: The rapid and widespread digitalization of economies warrants a better understanding of its impact on society and economy. This study contributes to this new but important research agenda by examining how news on digitalization affects digital economy related exchange traded funds (ETFs). For this purpose, we first construct a digital economy attention index by utilizing Google Search Volume Index for several keywords. Then, using this index and two other indices that represent attention and uncertainty related to central bank digital currency (CBDC), we examine the time-varying connectedness and correlations between these three indices and digital economy ETFs. Our TVP-VAR frequency connectedness analysis shows that attention to and uncertainty around the CBDC and digital economy have strong connectedness with the ETFs in the short-term. The analysis also shows that CBDC and digital economy indices are mainly net transmitters of shocks while the majority of the ETFs are the net receivers of the shocks. The results of our wavelet local multiple correlation (WLMC) analysis show that the correlations between ETFs, digital economy and CBDC indices are time- and frequency-dependent. Moreover, both connectedness and correlations are affected by CBDC-related global events and COVID-19 pandemic. The time- and frequency-dependent relation requires active management of the portfolios containing digital economy related assets.

Keywords: CBDC; Digital economy; ETF; Uncertainty; Spillover (search for similar items in EconPapers)
JEL-codes: C58 G1 G2 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1044028324000644
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:61:y:2024:i:c:s1044028324000644

DOI: 10.1016/j.gfj.2024.100992

Access Statistics for this article

Global Finance Journal is currently edited by Manuchehr Shahrokhi

More articles in Global Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().