Time and frequency connectedness of uncertainties in cryptocurrency,stock, currency,energy, and precious metals markets |
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| Institution: | 1. Prince Sultan University, Riyadh, Saudi Arabia;2. Jacksonville University, 2800 University Blvd N, Jacksonville, FL 32211, USA;1. Monetary and Banking Research Institute, Tehran, Iran;2. Graduate School of Management and Economics, Sharif University of Technology, Tehran, Iran;3. Department of Finance, Orfalea College of Business, California Polytechnic State University, San Luis Obispo, CA 93407, USA;1. Economist at the International Monetary Fund, Washington, D.C., USA;2. Department of Finance, Insurance and Real Estate, Laboratory for Financial Engineering of Laval University, Faculty of Business Administration, Laval University, Quebec, Canada;3. CEO of the Bourse Régionale des Valeurs Mobilières (BRVM), Abidjan, Côte d''Ivoire;1. Department of Business Administration (Islahiye), Gaziantep University, Gaziantep, Turkey;2. Department of Business Administration, Dicle University, Diyarbak?r, Turkey;3. School of Business, Lebanese American University, Lebanon |
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| 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 Baruník and K?ehlík (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. |
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