Connectedness in cross-assets and digital assets attention indices
We explore both the static and dynamic connectedness across traditional and unconventional assets classes using the Baruník-Křehlík connectedness and wavelets techniques. These techniques are used to characterise the static and rolling-window connectedness of 12 conventional assets and Non-Fungible...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-10-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844023078763 |
| _version_ | 1797646489346899968 |
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| author | Zynobia Barson Peterson Owusu Junior |
| author_facet | Zynobia Barson Peterson Owusu Junior |
| author_sort | Zynobia Barson |
| collection | DOAJ |
| description | We explore both the static and dynamic connectedness across traditional and unconventional assets classes using the Baruník-Křehlík connectedness and wavelets techniques. These techniques are used to characterise the static and rolling-window connectedness of 12 conventional assets and Non-Fungible Tokens (NFT), Index On Cryptocurrency Environmental Attention (ICEA) and Central Bank Digital Currency (CBDC) attention indices. Between January 25, 2010 and July 11, 2022, the wavelet multiple correlations showed increasing high levels of correlation through short-to long-terms; with DJI and SP500 dominanting with the tendency to lead or lag in the short-term. The Baruník-Křehlík technique also showed that spillover is higher at short-terms and gradually decreases across the periods. We also report a pair-specific, frequency-dependent connectedness across the assets and indices. Primarily, we show that Non-Fungible Tokens Attention Index (NFTAI) has a higher frequency-based time-varying spillover across assets than CDBC and ICEA. Regulators need to pay close attention to NFTs because they are not fungible and interchangeable neither can their ownership be transferred. |
| first_indexed | 2024-03-11T15:02:21Z |
| format | Article |
| id | doaj.art-01fc2089e12e42b889b255ca03ed9039 |
| institution | Directory Open Access Journal |
| issn | 2405-8440 |
| language | English |
| last_indexed | 2024-03-11T15:02:21Z |
| publishDate | 2023-10-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Heliyon |
| spelling | doaj.art-01fc2089e12e42b889b255ca03ed90392023-10-30T06:06:57ZengElsevierHeliyon2405-84402023-10-01910e20668Connectedness in cross-assets and digital assets attention indicesZynobia Barson0Peterson Owusu Junior1Corresponding author.; Department of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaDepartment of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaWe explore both the static and dynamic connectedness across traditional and unconventional assets classes using the Baruník-Křehlík connectedness and wavelets techniques. These techniques are used to characterise the static and rolling-window connectedness of 12 conventional assets and Non-Fungible Tokens (NFT), Index On Cryptocurrency Environmental Attention (ICEA) and Central Bank Digital Currency (CBDC) attention indices. Between January 25, 2010 and July 11, 2022, the wavelet multiple correlations showed increasing high levels of correlation through short-to long-terms; with DJI and SP500 dominanting with the tendency to lead or lag in the short-term. The Baruník-Křehlík technique also showed that spillover is higher at short-terms and gradually decreases across the periods. We also report a pair-specific, frequency-dependent connectedness across the assets and indices. Primarily, we show that Non-Fungible Tokens Attention Index (NFTAI) has a higher frequency-based time-varying spillover across assets than CDBC and ICEA. Regulators need to pay close attention to NFTs because they are not fungible and interchangeable neither can their ownership be transferred.http://www.sciencedirect.com/science/article/pii/S2405844023078763NFTAIICEACBDCAISpilloverFrequency-domain |
| spellingShingle | Zynobia Barson Peterson Owusu Junior Connectedness in cross-assets and digital assets attention indices Heliyon NFTAI ICEA CBDCAI Spillover Frequency-domain |
| title | Connectedness in cross-assets and digital assets attention indices |
| title_full | Connectedness in cross-assets and digital assets attention indices |
| title_fullStr | Connectedness in cross-assets and digital assets attention indices |
| title_full_unstemmed | Connectedness in cross-assets and digital assets attention indices |
| title_short | Connectedness in cross-assets and digital assets attention indices |
| title_sort | connectedness in cross assets and digital assets attention indices |
| topic | NFTAI ICEA CBDCAI Spillover Frequency-domain |
| url | http://www.sciencedirect.com/science/article/pii/S2405844023078763 |
| work_keys_str_mv | AT zynobiabarson connectednessincrossassetsanddigitalassetsattentionindices AT petersonowusujunior connectednessincrossassetsanddigitalassetsattentionindices |