COVID-19, Russia-Ukraine war and interconnectedness between stock and crypto markets: a wavelet-based analysis

Wajdi Frikha, Mariem Brahim, Ahmed Jeribi and Amine Lahiani

Journal of Business Analytics, 2023, vol. 6, issue 4, 255-275

Abstract: This paper aims to investigate the impacts of the COVID-19 pandemic and Russia-Ukraine war on the interconnectedness between the US and China stock markets, major cryptocurrency and commodity markets using the wavelet coherence approach over the period from January 1 2016 to April 18 2022. The aim is to understand how the COVID-19 pandemic and the Russia-Ukraine war have affected the hedging efficiency of volatile crypto-currencies and gold. Wavelet coherency analysis unveils perceptual differences between the short-term and longer-term market reactions. In the short-run, we find strong co-movements during the first and second waves of the pandemic. During the first wave, longer-term investors were driven by the belief of future pandemic demise. They make use of time diversification that results in positive returns. During the Russia-Ukraine war, S&P 500 leads Bitcoin, BNB, and Ripple whereas Ethereum leads S&P 500 and SSE.

Date: 2023
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DOI: 10.1080/2573234X.2023.2193224

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