Metaverse and financial markets: A quantile-time-frequency connectedness analysis

Ahmet Faruk Aysan, Jonathan Batten, Giray Gözgör, Rabeh Khalfaoui and Zhamal Nanaeva

Research in International Business and Finance, 2024, vol. 72, issue PB

Abstract: Amidst increasing interest from investors and scholars in the emerging Metaverse market, this paper marks a pioneering attempt to investigate the volatility connections between the Metaverse stock index and traditional financial markets such as Gold, Crude Oil, the Volatility Index, Bitcoin, and the Nasdaq. Utilizing a novel Quantile Vector Autoregressive (QVAR) model, the study assesses the transmission of shocks between the Metaverse market and its counterparts during bearish, normal, and bullish market conditions. The results highlight a significant increase in connectivity during extreme conditions compared to median levels. Notably, the Nasdaq emerges as a principal volatility transmitter to the Metaverse index, while Bitcoin shows minimal influence, suggesting that technological innovations, rather than cryptocurrencies, predominantly drive the Metaverse market. This investigation provides valuable insights for investors and policymakers, considering the nascent stage of Metaverse-related empirical research.

Keywords: Metaverse; Financial markets; Volatility spillover; Connectedness; Quantile vector autoregressive (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:72:y:2024:i:pb:s0275531924003209

DOI: 10.1016/j.ribaf.2024.102527

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