Scholarlink

<p>This study examines the dynamic connectedness between cryptocurrencies, digital gold, and global stock markets using a time–frequency framework. Specifically, it employs the Time<b>-</b>Varying Parameter Vector Autoregression (TVP-VAR) model alongside wavelet analysis to capture how spillovers and interdependencies evolve over time and across different investment horizons. The results reveal that connectedness among these markets is highly time-varying and intensifies during periods of heightened global uncertainty and financial stress. Cryptocurrencies exhibit strong short-term spillovers, indicating rapid transmission of shocks, while their long-term connectedness with global stock markets remains relatively weak. Digital gold, on the other hand, exhibits characteristics more consistent with a safe-haven asset, particularly during crises, as its spillovers with equities are more limited and less persistent. The wavelet analysis further confirms that most interactions occur at high frequencies, suggesting that market participants react quickly to shocks, whereas long-term dependencies are comparatively subdued. Overall, the findings highlight the importance of considering both time and frequency dimensions when assessing diversification benefits and risk transmission across cryptocurrencies, digital gold, and global equity markets.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Time frequency connectedness between cryptocurrencies, digital gold and global stock markets: evidence from TVP-VAR and wavelet analysis

  • 期刊论文

  • 发表日期：

    2026年4月21日

查看全文
  • Nadia Belkhir,
  • Aamir Aijaz Syed

摘要

This study examines the dynamic connectedness between cryptocurrencies, digital gold, and global stock markets using a time–frequency framework. Specifically, it employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model alongside wavelet analysis to capture how spillovers and interdependencies evolve over time and across different investment horizons. The results reveal that connectedness among these markets is highly time-varying and intensifies during periods of heightened global uncertainty and financial stress. Cryptocurrencies exhibit strong short-term spillovers, indicating rapid transmission of shocks, while their long-term connectedness with global stock markets remains relatively weak. Digital gold, on the other hand, exhibits characteristics more consistent with a safe-haven asset, particularly during crises, as its spillovers with equities are more limited and less persistent. The wavelet analysis further confirms that most interactions occur at high frequencies, suggesting that market participants react quickly to shocks, whereas long-term dependencies are comparatively subdued. Overall, the findings highlight the importance of considering both time and frequency dimensions when assessing diversification benefits and risk transmission across cryptocurrencies, digital gold, and global equity markets.