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On the dynamic connectedness between the G7 stock market indices and different asset classes: Fresh insights from the COVID-19 pandemic and Russia–Ukraine war

Author

Listed:
  • Azza Bejaoui

    (Higher School of Commerce of Tunis, Manouba University)

  • Wajdi Frikha

    (Faculty of Economics and Management of Sfax)

  • Ahmed Jeribi

    (Faculty of Economics and Management of Mahdia)

Abstract

In this paper, we attempt to examine the dynamic relationship between the G7 stock markets and other assets during the outbreak of the health and political crises. To this end, we apply the wavelet methods on daily prices of the G7 stock indices, gold, cryptocurrencies, and stablecoin over the period 02/01/2019–18/04/2022. The empirical findings clearly show a significant coherence among different assets. Different lead–lag relationships are detected during various time horizons with the outbreak of political and health crises. In particular, Tether leads the G7 stock market indices whereas other assets move with and are driven by the G7 market indices. This can highlight their inability to play as safe havens during the advent of health and political crises, except for the stablecoin to some extent. Such findings can have insightful implications from portfolio perspectives.

Suggested Citation

  • Azza Bejaoui & Wajdi Frikha & Ahmed Jeribi, 2023. "On the dynamic connectedness between the G7 stock market indices and different asset classes: Fresh insights from the COVID-19 pandemic and Russia–Ukraine war," SN Business & Economics, Springer, vol. 3(11), pages 1-21, November.
    • Handle: RePEc:spr:snbeco:v:3:y:2023:i:11:d:10.1007_s43546-023-00562-w
    DOI: 10.1007/s43546-023-00562-w
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    More about this item

    Keywords

    Wavelet analysis; Russia–Ukraine war; Bitcoin; Gold; Safe haven; Stablecoin;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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