Average dynamic connectedness.
| العنوان: | Average dynamic connectedness. |
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| المؤلفون: | Muneer Shaik, Mustafa Raza Rabbani, Mohd. Atif, Ahmet Faruk Aysan, Mohammad Noor Alam, Umar Nawaz Kayani |
| سنة النشر: | 2024 |
| مصطلحات موضوعية: | Biotechnology, Ecology, Sociology, Developmental Biology, Cancer, Infectious Diseases, Biological Sciences not elsewhere classified, Chemical Sciences not elsewhere classified, sustainable stock indices, dynamic volatility nexus, dynamic volatility connectedness, financial market participants, ukraine war subsamples, ukraine war periods, net volatility transmitters, net volatility receivers, ukraine war, net transmitter, net recipient, financial assets, |
| الوصف: | We investigate the dynamic volatility connectedness of geopolitical risk, stocks, bonds, bitcoin, gold, and oil from January 2018 to April 2022 in this study. We look at connectivity during the Pre-COVID, COVID, and Russian-Ukraine war subsamples. During the COVID-19 and Russian-Ukraine war periods, we find that conventional, Islamic, and sustainable stock indices are net volatility transmitters, whereas gold, US bonds, GPR, oil, and bitcoin are net volatility receivers. During the Russian-Ukraine war, the commodity index (DJCI) shifted from being a net recipient of volatility to a net transmitter of volatility. Furthermore, we discover that bilateral intercorrelations are strong within stock indices (DJWI, DJIM, and DJSI) but weak across all other financial assets. Our study has important implications for policymakers, regulators, investors, and financial market participants who want to improve their existing strategies for avoiding financial losses. |
| نوع الوثيقة: | dataset |
| اللغة: | unknown |
| Relation: | https://figshare.com/articles/dataset/Average_dynamic_connectedness_/25228218 |
| DOI: | 10.1371/journal.pone.0286963.t003 |
| الاتاحة: | https://doi.org/10.1371/journal.pone.0286963.t003 https://figshare.com/articles/dataset/Average_dynamic_connectedness_/25228218 |
| Rights: | CC BY 4.0 |
| رقم الانضمام: | edsbas.3C0539D9 |
| قاعدة البيانات: | BASE |
| DOI: | 10.1371/journal.pone.0286963.t003 |
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