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COVID-19, Russia-Ukraine war and interconnectedness between stock and crypto markets: a wavelet-based analysis

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  • Wajdi Frikha
  • Mariem Brahim
  • Ahmed Jeribi
  • Amine Lahiani

Abstract

This paper aims to investigate the impacts of the COVID-19 pandemic and Russia-Ukraine war on the interconnectedness between the US and China stock markets, major cryptocurrency and commodity markets using the wavelet coherence approach over the period from January 1 2016 to April 18 2022. The aim is to understand how the COVID-19 pandemic and the Russia-Ukraine war have affected the hedging efficiency of volatile crypto-currencies and gold. Wavelet coherency analysis unveils perceptual differences between the short-term and longer-term market reactions. In the short-run, we find strong co-movements during the first and second waves of the pandemic. During the first wave, longer-term investors were driven by the belief of future pandemic demise. They make use of time diversification that results in positive returns. During the Russia-Ukraine war, S&P 500 leads Bitcoin, BNB, and Ripple whereas Ethereum leads S&P 500 and SSE.

Suggested Citation

  • Wajdi Frikha & Mariem Brahim & Ahmed Jeribi & Amine Lahiani, 2023. "COVID-19, Russia-Ukraine war and interconnectedness between stock and crypto markets: a wavelet-based analysis," Journal of Business Analytics, Taylor & Francis Journals, vol. 6(4), pages 255-275, October.
    • Handle: RePEc:taf:tjbaxx:v:6:y:2023:i:4:p:255-275
    DOI: 10.1080/2573234X.2023.2193224
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