In order to provide hedging strategies on the financial risks involved in such crises and also taking into consideration that two cryptocurrency prices have been impacted by Russia-Ukraine war uncertainties apart from the COVID-19 pandemic, we applied wavelet analysis along with the multivariate DCC-GARCH process to scrutinize the return–volatility causal relationship among gold price and six stock market indices, including three well-established emerging economy (EE) ones. We achieved a more balanced and complete picture by considering data for the time period July 28, 2016 to December 30, 2022. The events of analysis were crises in the Chinese market, a trade war between the USA and China), caused by the COVID-19 pandemic, after which came global recession Ⅲ (a Russia-Ukraine war); next, part Ⅳ — the peak of the global energy crisis. The findings generally indicated that when a sudden shock sometimes like this happens (or in a pandemic), there is no one other than Ethereum for all investors in emerging and developed markets to find a safe haven or protect themselves, while Bitcoin acts as less safe. We also showed Gold as a hedge in Global Crises and as a Hedge and Weak Safe Haven Against Geopolitical Tension. Last, investors in the paired joint oil stock have a greater benefit but can gain only if they hold shorter-term investments. As for volatility, arguably, only bitcoin is to be observed as the least volatile among all other variables. Our findings suggested that stock markets are the source of volatility spillover to all others while prior work has established mixed evidence during the pandemic, the most crucial and recent periods, respectively.
Citation: Rubaiyat Ahsan Bhuiyan, Tanusree Chakravarty Mukherjee, Kazi Md Tarique, Changyong Zhang. Hedge asset for stock markets: Cryptocurrency, Cryptocurrency Volatility Index (CVI) or Commodity[J]. Quantitative Finance and Economics, 2025, 9(1): 131-166. doi: 10.3934/QFE.2025005
In order to provide hedging strategies on the financial risks involved in such crises and also taking into consideration that two cryptocurrency prices have been impacted by Russia-Ukraine war uncertainties apart from the COVID-19 pandemic, we applied wavelet analysis along with the multivariate DCC-GARCH process to scrutinize the return–volatility causal relationship among gold price and six stock market indices, including three well-established emerging economy (EE) ones. We achieved a more balanced and complete picture by considering data for the time period July 28, 2016 to December 30, 2022. The events of analysis were crises in the Chinese market, a trade war between the USA and China), caused by the COVID-19 pandemic, after which came global recession Ⅲ (a Russia-Ukraine war); next, part Ⅳ — the peak of the global energy crisis. The findings generally indicated that when a sudden shock sometimes like this happens (or in a pandemic), there is no one other than Ethereum for all investors in emerging and developed markets to find a safe haven or protect themselves, while Bitcoin acts as less safe. We also showed Gold as a hedge in Global Crises and as a Hedge and Weak Safe Haven Against Geopolitical Tension. Last, investors in the paired joint oil stock have a greater benefit but can gain only if they hold shorter-term investments. As for volatility, arguably, only bitcoin is to be observed as the least volatile among all other variables. Our findings suggested that stock markets are the source of volatility spillover to all others while prior work has established mixed evidence during the pandemic, the most crucial and recent periods, respectively.
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Figures(17) / Tables(2)
Rubaiyat Ahsan Bhuiyan, Tanusree Chakravarty Mukherjee, Kazi Md Tarique, Changyong Zhang. Hedge asset for stock markets: Cryptocurrency, Cryptocurrency Volatility Index (CVI) or Commodity[J]. Quantitative Finance and Economics, 2025, 9(1): 131-166. doi: 10.3934/QFE.2025005
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