Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets


ÇAĞLI E. Ç., EVRİM MANDACI P.

EMERGING MARKETS REVIEW, vol.55, 2023 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 55
  • Publication Date: 2023
  • Doi Number: 10.1016/j.ememar.2023.101019
  • Journal Name: EMERGING MARKETS REVIEW
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, Academic Search Premier, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, PAIS International
  • Dokuz Eylül University Affiliated: Yes

Abstract

This paper examines the connectedness of uncertainty in cryptocurrency, stock, currency, and commodity markets. We use the novel news-based cryptocurrency uncertainty indices of Lucey et al. (2021) and global implied volatility indices as uncertainty proxies for stock, currency, energy, and precious metals markets. We analyze weekly data between January 2014 and May 2021, employing the time and frequency connectedness measures of Diebold and Yilmaz (2012) and Barunik and Krehlik (2018). Our results show a low degree of uncertainty connectedness between cryptocurrency and other markets. The results imply long-term diversification opportunities and highlight the distinct dynamics of the cryptocurrency markets.