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Assessing connectedness of transportation cryptocurrencies and transportation stocks: Evidence from wavelet quantile correlation

Author

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  • Patel, Ritesh
  • Goodell, John W.
  • Chishti, Muhammad Zubair

Abstract

We investigate the interconnections between transportation cryptocurrencies and transportation stocks using a wavelet quantile correlation approach. We find transportation cryptocurrencies have a negative relationship with transportation stocks over most conditions and time periods, indicating opportunity for diversifying transportation stocks. However, in contrast, under some conditions, transportation cryptocurrencies have weak, almost economically inconsequential positive connectedness with transportation stocks, Overall, we highlight that transportation cryptocurrencies provide important diversification opportunities for transportation stock.

Suggested Citation

  • Patel, Ritesh & Goodell, John W. & Chishti, Muhammad Zubair, 2023. "Assessing connectedness of transportation cryptocurrencies and transportation stocks: Evidence from wavelet quantile correlation," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008760
    DOI: 10.1016/j.frl.2023.104504
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    More about this item

    Keywords

    Transportation cryptocurrencies; Transportation equity; Wavelet quantile correlation; Connectedness; Portfolio diversification;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • R42 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Transportation Economics - - - Government and Private Investment Analysis; Road Maintenance; Transportation Planning

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