What Matters for Comovements among Gold, Bitcoin, CO 2, Commodities, VIX and International Stock Markets during the Health, Political and Bank Crises?

Wajdi Frikha, Azza Béjaoui, Aurelio Fernandez Bariviera and Ahmed Jeribi
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Wajdi Frikha: Faculty of Economics and Management of Sfax, University of Sfax, Sfax 3018, Tunisia
Azza Béjaoui: Higher School of Commerce, University of La Manouba, Tunis 2010, Tunisia
Ahmed Jeribi: Faculty of Economics and Management of Mahdia, University of Monastir, Mahdia 5100, Tunisia

Risks, 2024, vol. 12, issue 3, 1-31

Abstract: This paper analyzes the connectedness between gold, wheat, and crude oil futures, Bitcoin, carbon emission futures, and international stock markets in the G7, BRICS, and Gulf regions with the outbreak of exogenous and unexpected shocks related to health, banking, and political crises. To this end, we use a wavelet-based method on the returns of different assets during the period 2 January 2019, to 21 April 2023. The empirical findings show that the existence of time-varying linkages between markets is well documented and appears stronger during the COVID-19 pandemic. However, it seems to diminish for some associations with the advent of the Russia-Ukraine War. The empirical results also show that investor risk perceptions measured by the VIX are negatively and substantially linked to stock markets in different regions. Other interesting findings emerge from the connectedness analysis with the outbreak of Silicon Valley bankruptcy. In particular, Bitcoin tends to regain its role as a safe-haven asset against some G7 stock markets during the bank crisis. Such findings can provide valuable insights for investors and policymakers concerning the relationship between different markets during different crises.

Keywords: wavelet analysis; Silicon Valley bank; Russia-Ukraine War; comovements; commodities (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2024
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