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Volatility interdependencies of cryptocurrencies, gold, oil, and US stocks: quantile connectedness analysis with intraday data

2024-12-15Journal article Restricted access
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dc.contributor.authorOlaOluwa S. Yaya
dc.contributor.authorDerick D. Quintino
dc.contributor.authorCristiane M. Ogino
dc.contributor.authorOlanrewaju I. Shittu
dc.contributor.authorDora M. F. Almeida
dc.contributor.authorPaulo J. S. Ferreira
dc.date.accessioned2025-01-08T11:49:30Z
dc.date.available2025-01-08T11:49:30Z
dc.date.issued2024-12-15
dc.date.updated2025-01-04T14:42:57Z
dc.description.abstractThe fnancial market is constantly afected by extreme events, such as the COVID19 pandemic and the Russia-Ukraine war, which have signifcantly impacted commodity prices and market conditions. To better understand the behaviour of prices in diferent market situations, particularly at the bull and bear market states, this study investigates the interdependencies of volatility between cryptocurrencies, gold, oil, and US stocks by employing the quantile dynamic connectedness method and computing the Net total connectedness (NET) and the Total Connectedness Index (TCI) measures for bear, bull, and normal market situations. As a diferential, it used intraday data from 2018 to 2022 to characterise relationships among these market situations. The NET measure indicates that Ethereum and Bitcoin are net transmitters of shocks in diferent quantile values. At the same time, Brent, gold, and SP500 showed to be net shock receivers in most situations, except for gold in quantiles 0.6–0.7 and 0.95 and SP500 in quantiles 0.9–0.95. Further, shocks are not transmitted between Bitcoin and Ethereum at any phase of the market. Regarding TCI, the results show that the diferent markets are strongly connected in extreme situations, mainly in the bull market. These fndings into the distinct behaviors under extreme quantiles provide valuable implications for portfolio diversifcation and risk management strategies.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1007/s43546-024-00770-ypt_PT
dc.identifier.slugcv-prod-4253024
dc.identifier.urihttp://hdl.handle.net/10400.26/53609
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherSpringer Nature Journalpt_PT
dc.subjectSpillover efectspt_PT
dc.subjectBitcoinpt_PT
dc.subjectEthereumpt_PT
dc.subjectS&P500pt_PT
dc.subjectCommoditiespt_PT
dc.subjectCOVID19 pandemic shockpt_PT
dc.subjectRussia-Ukraine war shockpt_PT
dc.subjectIntraday pricept_PT
dc.titleVolatility interdependencies of cryptocurrencies, gold, oil, and US stocks: quantile connectedness analysis with intraday datapt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/Concurso de avaliação no âmbito do Programa Plurianual de Financiamento de Unidades de I&D (2017%2F2018) - Financiamento Base/UIDB%2F05064%2F2020/PT
oaire.citation.titleSN Business & Economicspt_PT
oaire.fundingStreamConcurso de avaliação no âmbito do Programa Plurianual de Financiamento de Unidades de I&D (2017/2018) - Financiamento Base
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.cv.cienciaid181D-7395-0348 | Dora Maria Fortes de Almeida
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT
relation.isProjectOfPublication0cd5c3a9-59a4-47a4-a519-49e2c2c24fcd
relation.isProjectOfPublication.latestForDiscovery0cd5c3a9-59a4-47a4-a519-49e2c2c24fcd

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