Universitat Rovira i Virgili

Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT

Article  - 

Bejaoui, A., Frikha, W., Jeribi, A. and Bariviera, A.F. (2023):"Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis", Physica A

This paper examines the dynamic connectedness between Gulf countries and BRICS stocks markets with a sample of cryptocurrencies, as well as two newly developed digital assets, namely NFT and DeFi, and gold. Our analysis is based on wavelet coherence, which is a suitable methodology considering the nonlinear dynamics present in data.

Furthermore, we use the VAR model-based Granger Causality test for different sub-periods, not only to offer additional support to our connectedness findings but also to deepen and strengthen our findings about lead-lag patterns and phase difference among different asset classes. Our empirical results clearly identify nontrivial time-varying connectedness between different assets and the stock markets.

Asymmetric patterns in the interconnections of newly developed digital assets, cryptocurrencies, gold, and emerging market indices are well-documented, especially during the advent of the health and political events. Finally, our results have relevant implications for portfolio managers, investors and researchers about portfolio allocation, investment strategies and potential diversification benefits of NFT and DeFi digital assets.

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Aurelio F. Bariviera