Applied Economics,
Journal Year:
2024,
Volume and Issue:
unknown, P. 1 - 20
Published: Oct. 15, 2024
Growth
in
digitalization
has
created
a
potential
boost
for
Non-fungible
tokens
(NFTs)
and
decentralized
finance
(DeFis)
assets
the
modern
world.
Therefore,
this
study
aims
to
examine
comovement
between
recently
developed
comprehensive
measure
of
news
sentiment
index
(NSI)
selected
digital
assets.
For
purpose,
we
have
utilized
wavelet
transform,
correlation,
coherence
econometric
model
assess
interdependency
both
time
frequency
sentiments
Our
correlation
covariance
results
suggest
that
almost
all
exhibit
negative
relationship
with
NSI.
Moreover,
confirm
there
is
no
significant
short
medium-term
horizon,
suggesting
NFTs
DeFi
can
be
used
as
hedges
against
Furthermore,
observe
small
patches
NSI
long
term,
which
correspond
initial
days
COVID-19.
assets'
hedging
role
news-driven
uncertainty.
This
finding
provides
essential
information
policymakers,
international
investors,
investment
managers
make
effective
decisions.
Research in International Business and Finance,
Journal Year:
2024,
Volume and Issue:
72, P. 102544 - 102544
Published: Aug. 27, 2024
This
study
investigates
the
return
and
volatility
interconnectedness
between
emerging
digital
assets,
specifically
agricultural
tokens,
U.S.
equity
sectors
using
TVP-VAR
model.
Analyzing
data
from
August
7,
2020,
to
January
2,
2024,
findings
indicate
modest
interconnections
tokens
sectors,
with
time-varying
behavior.
Notably,
is
generally
stronger
than
volatility,
except
at
sample
period's
outset,
where
dominates.
Return
spillovers
predominantly
drive
connectedness
system,
though
uniquely
act
as
net
recipients
of
both
spillovers,
while
mainly
transmit
spillovers.
Optimal
portfolio
analysis,
utilizing
weights
hedge
ratios,
reveals
that
incorporating
offers
diversification
benefits
enhances
hedging
performance.
Investors
are
advised
frequently
adjust
portfolios
maximize
gains.
These
provide
significant
implications
for
policymakers,
market
participants,
investors.
•
Agricultural
can
serve
effective
risk
management
assets.
dominate
allocations,
Asyagro
showing
highest
token
weight,
enhancing
diversification.
Frequent
adjustments
necessary
optimal
ratios
vary
over
time.
International Journal of Finance & Economics,
Journal Year:
2024,
Volume and Issue:
unknown
Published: Oct. 30, 2024
ABSTRACT
This
study
delves
into
the
connection
between
Environmental,
Social
and
Governance
(ESG)
indices
emerging
Decentralised
Finance
(DeFi)
assets.
Specifically,
it
explores
ever‐changing,
frequency‐based
linkage
these
ESG
innovative
DeFi
Employing
wavelet
coherence
technique,
we
analyse
a
broad
range
of
indices,
spanning
emerging,
developed
US
alongside
various
examination
covers
period
encompassing
COVID‐19
pandemic
Russian‐Ukrainian
conflict
to
assess
market
linkages
during
extreme
events.
We
then
calculate
optimal
weights
hedge
ratios
for
ESG‐DeFi
asset
pairs
evaluate
portfolio
implications.
Wavelet
analysis
results
frequently
show
no
assets,
underscoring
diversification
benefits
adding
an
portfolio.
However,
this
relationship
notably
strengthens
at
crisis's
onset,
indicating
assets
lose
potential
turbulent
times.
Portfolio
allocation
should
mainly
favour
normal
periods,
with
minimal
variations
in
pre‐
post‐COVID.
Meanwhile,
ratio
suggests
make
sound
investments
crises,
although
hedging
costs
increase
periods.
These
findings
hold
relevance
investors,
managers
policymakers.
Annals of Financial Economics,
Journal Year:
2024,
Volume and Issue:
19(01)
Published: March 1, 2024
This
study
attempts
to
evaluate
Taiwanese
hotel
stock
returns
in
response
the
COVID-19
outbreak.
uses
data
from
fifteen
stocks
Taiwan
Capitalization
Weighted
Stock
Index
(TAIEX)
and
implements
a
t-test
event
methodology.
We
create
window
December
31,
2018
March
2020,
which
includes
estimation
period
2019,
pre-announcement
January
1,
2020
post-announcement
February
2020.
In
average
daily
exhibited
distinct
pattern,
as
all
witnessed
negative
following
announcement
of
pandemic
alert.
The
results
indicate
that
show
significant
difference
mean.
Moreover,
persistent
impact
on
selected
stock.
It
is
therefore
important
for
policymakers
formulate
outbreak
strategies
advance
may
help
investors
devise
diversification
strategies.
Applied Economics,
Journal Year:
2024,
Volume and Issue:
unknown, P. 1 - 20
Published: Oct. 15, 2024
Growth
in
digitalization
has
created
a
potential
boost
for
Non-fungible
tokens
(NFTs)
and
decentralized
finance
(DeFis)
assets
the
modern
world.
Therefore,
this
study
aims
to
examine
comovement
between
recently
developed
comprehensive
measure
of
news
sentiment
index
(NSI)
selected
digital
assets.
For
purpose,
we
have
utilized
wavelet
transform,
correlation,
coherence
econometric
model
assess
interdependency
both
time
frequency
sentiments
Our
correlation
covariance
results
suggest
that
almost
all
exhibit
negative
relationship
with
NSI.
Moreover,
confirm
there
is
no
significant
short
medium-term
horizon,
suggesting
NFTs
DeFi
can
be
used
as
hedges
against
Furthermore,
observe
small
patches
NSI
long
term,
which
correspond
initial
days
COVID-19.
assets'
hedging
role
news-driven
uncertainty.
This
finding
provides
essential
information
policymakers,
international
investors,
investment
managers
make
effective
decisions.
