Заједничко кретанје злата, америчког долара, нафте, VIX индекса: докази о вејвлет кохеренцији и “DCC-GARCH” у периоду пандемије
Sažetak
Ова студија испитује везе цена и флуктуација биткоина (BTC) са златом, америчким доларом, нафтом, VIX индексом, осигурањем и диверзификацијом у Турској. У ту сврху, у студији су коришћени вејвлет кохеренција и динамичке условне корелације (DCCs). Ово истраживање испитује да ли се обрасци понашања “мехура” у ценама BTC током пандемије COVID-19 могу користити у краткорочном периоду за заштиту од обрасаца понашања “мехура” на тржиштима која су предмет овог истраживања и обрнуто. Међутим, такође се истражује да ли се друга средства могу користити за управљање и осигурање негативних ризика BTC. Циљ је да се разуме како и на ком нивоу критични финансијски инструменти и индикатори утичу једни на друге у временима кризе и економске рецесије, као што је пандемија, и представити вредне резултате доносиоцима одлука. Узорак за ову студију укључује Турску за период између 31.12.2019. и 13.07.2022. Резултати вејвлет кохеренције и DCC-GARCH показују значајна позитивна и негативна повезана кретања цена BTC са златом, нафтом, ценама америчког долара и индексом страха VIX током пандемије.. Налазимо доказе о постојаној волатилности, узрочности и фазним разликама између БТЦ-а и других финансијских инструмената и индикатора.
Reference
Aballe, A., Bethencourt, M., Botana, F.J., & Marcos, M. (1999). Using wavelets transform in the analysis of electrochemical noise data. Electrochimica Acta, 44 (26), 4805-4816.
Abdul-Rahim, R., Khalid, A., Karim, Z.A., & Rashid, M. (2022): Exploring the driving forces of stock-cryptocurrency co-movements during COVID-19 pandemic: An analysis using wavelet coherence and seemingly unrelated regression. Mathematics, 10 (12), 2116.
Adebayo T.S. (2021): Testing the EKC hypothesis in Indonesia: empirical evidence from the ARDL-based bounds and wavelet coherence approaches, Applied Economics Journal, 28 (1), 1–23.
Akyildirim, E., Corbet, S., Lucey, B., Sensoy, A., & Yarovaya, L. (2020): The relationship between implied volatility and cryptocurrency returns. Finance Research Letters, 33, 101212.
Al-Nassar, N.S., Boubaker, S., Chaibi, A., & Makram, B. (2023). In search of hedges and safe havens during the COVID─ 19 pandemic: Gold versus Bitcoin, oil, and oil uncertainty. The Quarterly Review of Economics and Finance, 90 (C), 318-332.
Al-Yahyaee, K.H., Rehman, M.U., Mensi, W., & Al-Jarrah, I.M.W. (2019). Can uncertainty indices predict Bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches, The North American Journal of Economics and Finance, 49 (C), 47-56.
Baek, C., & Elbeck, M. (2015). BTCs as an investment or speculative vehicle? A first look. Applied Economics Letters, 22 (1), 30-34.
Bao, H.-Li, J., Peng, Y., & Qu, Q. (2022). Can Bitcoin help money cross the border: International evidence. Finance Research Letters, 49 (C), 103127.
Baur, D.G., & Dimpfl, T. (2017). Realized BTC volatility. SSRN Electronic Journal, 2949754.
Baur, D. G., Dimpfl, T., & Kuck, K. (2018): BTC, Gold and the USD–A replication and extension. Finance Research Letters, 25, 103-110.
Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial review, 45(2), 217-229.
Beckmann, J., Berger, T., & Czudaj, R. (2015). Does gold act as a hedge or a safe haven for stocks? A smooth transition approach. Economic Modelling, 48, 16-24.
Bouri, E., Das, M., Gupta, R., & Roubaud, D. (2018). Spillovers between Bitcoin and other assets during bear and bull markets. Applied Economics, 50(55), 5935-5949
Bouoiyour, J., Selmi, R., & Wohar, M.E. (2019). Safe havens in the face of presidential election uncertainty: A comparison between BTC, oil and precious metals, Applied Economics, 51 (57), 6076-6088.
Bouri, E., Gupta, R., & Roubaud, D. (2019). Herding behaviour in cryptocurrencies. Finance Research Letters, 29, 216-221.
Bouri, E., Jalkh, N., Molnár, P., & Roubaud, D. (2017a). BTC for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?. Applied Economics, 49 (50), 5063-5073.
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L.I. (2017b). On the hedge and safe haven properties of BTC: Is it really more than a diversifier?. Finance Research Letters, 20, 192-198.
Bredin, D., Conlon, T., & Potì, V. (2015). Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon. International Review of Financial Analysis, 41, 320-328.
Bruno, V., & Shin, H.S. (2015). Capital flows and the risk-taking channel of monetary policy. Journal of Monetary Economics, 71 (C), 119–132.
Bulut, L., & Rizvanoghlu, I. (2020). Is gold a safe haven? The international evidence revisited. Acta Oeconomica, 70 (4), 531-549.
Chaim, P., & Laurini, M. P. (2019). Is Bitcoin a bubble?. Physica A: Statistical Mechanics and its Applications, 517, 222-232.
Cheah, E.T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economic Letters, 130, 32- 36.
Chkili, W. (2016). Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS Countries. Research in International Business and Finance, 38, 22–34.
Ciaian, P., Rajcaniova, M., & Kancs, D. A. (2016). The economics of bitcoin price formation. Applied economics, 48 (19), 1799-1815.
Conlon, T., Corbet, S., & McGee, R.J. (2020). Are Cryptocurrencies a Safe Haven for Equity Markets? An International Perspective from the COVID-19 Pandemic. Research in International Business and Finance, 54 (C), 101248.
Delfabbro, P., King, D. L., & Williams, J. (2021). The psychology of cryptocurrency trading: Risk and protective factors. Journal of behavioral addictions, 10 (2), 201-207.
Disli, M., Abd Rabbo, F., Leneeuw, T., & Nagayev, R. (2022). Cryptocurrency co-movements and crypto exchange movement: The relocation of Binance. Finance Research Letters, 48, 102989.
Dwyer, G.P. (2015). The economics of BTC and similar private digital currencies. Journal of financial stability, 17, 81-91.
Dyhrberg, A.H. (2016a). BTC, gold and the USD–A GARCH volatility analysis. Finance Research Letters, 16, 85-92.
Dyhrberg, A.H. (2016b). Hedging capabilities of BTC. Is it the virtual gold?. Finance Research Letters, 16, 139-144.
Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of business & economic statistics, 20(3), 339-350.
Engle III, R. F., & Sheppard, K. (2001). Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH.
Enders W. (1995). Applied Econometric Time Series, Iowa State University: John Wiley&Sons Inc.
Ercan, H., & Karahanoğlu, İ. (2019). A Wavelet Coherence Analysis: Contagion in Emerging Countries Stock Markets. Periodica Polytechnica Social and Management Sciences, 27 (2), 99-107.
Eurupean Central Bank (2012), Annual Report, https://www.ecb.europa.eu/pub/pdf/annrep/ar2012en.pdf
Feng, W., Wang, Y., & Zhang, Z. (2018). Can cryptocurrencies be a safe haven: a tail risk perspective analysis. Applied Economics, 50 (44), 4745-4762.
Gençay, R., Selçuk, F., & Whitcher, B. (2001a). Differentiating intraday seasonalities through wavelet multi-scaling. Physica A: Statistical Mechanics and its Applications, 289(3-4), 543-556.
Gençay, R., Selçuk, F., & Whitcher, B. (2001b). Scaling properties of foreign exchange volatility. Physica A: Statistical mechanics and its applications, 289(1-2), 249-266.
Gandal, N., Hamrick, J. T., Moore, T., & Oberman, T. (2018). Price manipulation in the Bitcoin ecosystem. Journal of Monetary Economics, 95, 86-96.
Ghosh, I., Sanyal, M.K., & Jana, R.K. (2021). Co-movement and dynamic correlation of financial and energy markets: An integrated framework of nonlinear dynamics, wavelet analysis and DCC-GARCH. Computational Economics, 57, 503-527.
Gkillas, K., Bouri, E., Gupta, R., & Roubaud, D. (2022). Spillovers in higher-order moments of crude oil, gold, and Bitcoin. The Quarterly Review of Economics and Finance, 84, 398-406.
Gkillas, K., & Longin, F. (2019). Is Bitcoin the new digital gold? Evidence from extreme price movements in financial markets. Evidence From Extreme Price Movements in Financial Markets (January 18, 2019).
Goodell, J.W., & Goutte, S. (2021). Co-movement of COVID-19 and BTC: Evidence from wavelet coherence analysis. Finance Research Letters, 38, 101625.
Goupillaud P., Grossmann A., & Morlet J. (1984): Cycle-octave and related transforms in seismic signal analysis. Geoexploration, 23(1), 85-102.
Gronwald, M. (2019). Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply. Journal of international money and finance, 97, 86-92.
Gürgün, G., & Ünalmış, İ. (2014). Is gold a safe haven against equity market investment in emerging and developing countries?. Finance Research Letters, 11(4), 341-348.
Hashemi Joo, M., Nishikawa, Y., & Dandapani, K. (2020). Cryptocurrency, a successful application of blockchain technology. Managerial Finance, 46 (6), 715-733.
Hernandez, J.A., Hasan, M.Z., & McIver, R.P. (2022). Bitcoin, Gold, and the VIX: short-and long-term effects of economic policy uncertainty. Applied Economics Letters, 1-5.
In, F., & Kim, S. (2013). An introduction to wavelet theory in finance: a wavelet multiscale approach. World scientific.
Ji, Q., Bouri, E., Gupta, R., & Roubaud, D. (2018). Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach. The Quarterly Review of Economics and Finance, 70, 203-213.
Ji, Q., Zhang, D.Y., & Zhao, Y.Q. (2020). Searching for Safe Haven Assets during the COVID-19 Pandemic. International Review of Financial Analysis, 71, 101526.
Kang, S.H., McIver, R.P., & Hernandez, J.A. (2019). Co-movements between Bitcoin and Gold: A wavelet coherence analysis. Physica A: Statistical Mechanics and its Applications, 536, 120888.
Klein, T., Thu, H. P., & Walther, T. (2018). Bitcoin is not the New Gold–A comparison of volatility, correlation, and portfolio performance. International Review of Financial Analysis, 59, 105-116.
Kumar, D. (2014). Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness. IIMB Management Review, 26, 5–16.
Kurka, J. (2019). Do cryptocurrencies and traditional asset classes influence each other?. Finance Research Letters, 31, 38-46.
Kwon, J.H. (2020). Tail behavior of Bitcoin, the USD, Gold and the stock market index. Journal of International Financial Markets, Institutions and Money, 67, 101202.
Li, D., Hong, Y., Wang, L., Xu, P., & Pan, Z. (2022). Extreme risk transmission among BTC and crude oil markets. Resources Policy, 77, 102761.
Liu, P.C. (1994). Wavelet spectrum analysis and ocean wind waves. In Wavelet analysis and its applications, Edited by: E. Foufoula-Georgiou, and P. Kumar, 151–166: Elsevier.
Long, S., Pei, H., Tian, H., & Lang, K. (2021). Can both Bitcoin and gold serve as safe-haven assets?—A comparative analysis based on the NARDL model. International Review of Financial Analysis, 78, 101914.
Luo, J., Ji, Q., Klein, T., Todorova, N., & Zhang, D. (2020). On realized volatility of crude oil futures markets: forecasting with exogenous predictors under structural breaks. Energy Economics, 89, 104781.
Matar, A., Al-Rdaydeh, M., Ghazalat, A., & Eneizan, B. (2021). Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis. Cogent Business & Management, 8 (1), 1948658.
Matkovskyy, R., & Jalan, A. (2019). From financial markets to Bitcoin markets: A fresh look at the contagion effect. Finance research letters, 31, 93-97.
Mensi, W., Al-Yahyaee, K.H. & Kang, S.H. (2019): Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from bitcoin and Ethereum. Finance Research Letters, 29, 222-230.
Mensi, W., Rehman, M.U., Maitra, D., Al-Yahyaee, K.H. & Sensoy, A. (2020): Does BTC co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach. Research in International Business and Finance, 53, 101230.
Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. https://assets.pubpub.org/d8wct41f/31611263538139.pdf
Oad Rajput, S.K. & Soomro, I.A. & Soomro, N.A. (2022). BTC sentiment index, BTC performance and USD exchange rate. Journal of Behavioral Finance, 23 (2). 150-165.
Pal, D., & Mitra, S. K. (2019). Hedging bitcoin with other financial assets. Finance Research Letters, 30, 30-36.
Percival, D. B., & Walden, A. T. (2000). Wavelet methods for time series analysis (Vol. 4). Cambridge university press.
Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. biometrika, 75(2), 335-346.
Popper, N. (2015). Digital gold: The untold story of Bitcoin. Penguin UK.
Qiao, X., Zhu, H., & Hau, L. (2020). Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis. International Review of Financial Analysis, 71, 101541.
Ramsey, J. B. (2002). Wavelets in economics and finance: Past and future. Studies in Nonlinear Dynamics & Econometrics, 6(3).
Rogojanu, A., & Badea, L. (2014). The issue of competing currencies. Case study–Bitcoin. Theoretical and Applied Economics, 21(1), 103-114.
Rehman, M.U., & Kang, S.H. (2021). A time–frequency co-movement and causality relationship between bitcoin hashrate and energy commodity markets. Global Finance Journal, 49, 100576.
Rubbaniy, G., Khalid, A.A. & Samitas, A. (2021). Are cryptos safe-haven assets during covid-19? Evidence from wavelet coherence analysis. Emerging Markets Finance and Trade, 57 (6), 1741-1756.
Sarwar, G., & Khan, W. (2016). The effect of US stock market uncertainty on emerging market returns. Emerging Markets Finance and Trade, 53 (8), 1796–1811.
Selgin, G. (2015). Synthetic commodity money. Journal of Financial Stability, 17, 92-99.
Selmi, R., Mensi, W., Hammoudeh, S., & Bouoiyour, J. (2018). Is BTC a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. Energy Economics, 74. 787–801.
Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). Is Bitcoin a better safe-haven investment than gold and commodities?. International Review of Financial Analysis, 63, 322-330.
Shahzad, S. J. H., Bouri, E., Roubaud, D., & Kristoufek, L. (2020). Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin. Economic Modelling, 87, 212-224.
Shahzad, S. J.H., & Bouri, E., & Rehman, M.U., & Roubaud, D. (2022). The hedge asset for BRICS stock markets: BTC, Gold or VIX. The World Economy, 45 (1), 292-316.
Smales, L. (2018). How low will Bitcoin now go? The history of price bubbles provides some clues. The Conversation, 10.
Lee, H. (2004). International transmission of stock market movements: a wavelet analysis. Applied Economics Letters, 11 (3): 197-201.
Torrence, C., & Compo, G.P. (1998). A practical guide to wavelet analysis. Bulletin of the American Meteorological Society, 79 (1), 61-78.
Torrence, C., & Webster, P.J. (1999). Interdecadal changes in the ENSO–monsoon system. Journal of Climate, 12 (8), 2679-2690.
Vacha, L., & Barunik, J. (2012). Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. Energy Economics, 34 (1), 241-247.
Vo, A., Chapman, T.A., & Lee, Y.S. (2022). Examining BTC and Economic Determinants: An Evolutionary Perspective. Journal of Computer Information Systems, 62 (3), 572-586.
Wang, G.J., & Xie, C., Wen, D., & Zhao, L. (2019). When BTC meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to BTC. Finance Research Letters, 31, 489–497.
Wen, F., Tong, X., & Ren, X. (2022). Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?. International Review of Financial Analysis, 81, 102121.
Wen, X., & Cheng, H. (2018). Which is the safe haven for emerging stock markets, gold or the USD? Emerging Markets Review, 35, 69–90
WHO, 2020. Coronavirus disease (COVID-19) pandemic, https://www.who.int/europe/emergencies/situations/covid-19
Wu, S. (2021). Co-movement and return spillover: evidence from BTC and traditional assets. SN Business & Economics, 1 (10), 1-16.
Yang, L., & Cai, X.J. & Zhang, H., & Hamori, S. (2016), Interdependence of foreign exchange markets: A wavelet coherence analysis. Economic Modelling, 55, 6-14.
Yousefi, S., Weinreich, I., & Reinarz, D. (2005). Wavelet-based prediction of oil prices. Chaos, Solitons & Fractals, 25 (2), 265-275.
Yu, J. H., Kang, J., & Park, S. (2019). Information availability and return volatility in the Bitcoin market: analyzing differences of user opinion and interest. Information Processing & Management, 56 (3), 721-732.
Zhang, D., Hu, M., & Ji, Q. (2020). Financial Markets under the Global Pandemic of Covid- 19. Finance Research Letters, 36, 101528.
Zhang, D., & Ji, Q. (2019): Energy finance: frontiers and future development. Energy Economcs, 83 (1), 290–292
Zhang, L., Li, Z., Kirikkaleli, D., Adebayo, T.S., Adeshola, I., & Akinsola, G.D. (2021). Modeling CO2 emissions in Malaysia: an application of Maki cointegration and wavelet coherence tests. Environmental Science and Pollution Research, 28(20), 26030-26044.
The Author wishes to submit the Work to SJM for publication. To enable SJM to publish the Work and to give effect to the parties’ intention set forth herein, they have agreed to cede the first right to publication and republication in the SJM Journal.
Cession
The Author hereby cedes to SJM, who accepts the cession, to the copyright in and to the paper.
The purpose of the cession is to enable SJM to publish the Work, as first publisher world-wide, and for republication in the SJM Journal, and to grant the right to others to publish the Work world-wide, for so long as such copyright subsists;
SJM shall be entitled to edit the work before publication, as it deems fit, subject to the Authors approval
The Author warrants to SJM that:
- the Author is the owner of the copyright in the Work, whether as author or as reassigned from the Author’s employee and that the Author is entitled to cede the copyright to SJM;
- the paper (or any of its part) is not submitted or accepted for publication in any other Journal;
- the Work is an original work created by the Author;
- the Author has not transferred, ceded, or assigned the copyright, or any part thereof, to any third party; or granted any third party a licence or other right to the copyright, which may affect or detract from the rights granted to SJM in terms of this agreement.
The Author hereby indemnifies the SJM as a body and its individual members, to the fullest extent permitted in law, against all or any claims which may arise consequent to the warranties set forth.
No monetary consideration shall be payable by SJM to the Author for the cession, but SJM shall clearly identify the Author as having produced the Work and ensure that due recognition is given to the Author in any publication of the Work.
Should SJM, in its sole discretion, elect not to publish the Work within 1 year after the date of this agreement, the cession shall lapse and be of no further effect. In such event the copyright shall revert to the Author and SJM shall not publish the Work, or any part thereof, without the Author’s prior written consent.