Metaverse and financial markets: A quantile-time-frequency connectedness analysis
<p dir="ltr">Amidst increasing interest from investors and scholars in the emerging <u>Metaverse market</u>, this paper marks a pioneering attempt to investigate the volatility connections between the Metaverse stock index and traditional financial markets such as Gold, C...
محفوظ في:
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| مؤلفون آخرون: | , , , |
| منشور في: |
2024
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| _version_ | 1864513540588568576 |
|---|---|
| author | Ahmet Faruk Aysan (11902115) |
| author2 | Jonathan Batten (3966038) Giray Gozgor (9119464) Rabeh Khalfaoui (7016714) Zhamal Nanaeva (17824328) |
| author2_role | author author author author |
| author_facet | Ahmet Faruk Aysan (11902115) Jonathan Batten (3966038) Giray Gozgor (9119464) Rabeh Khalfaoui (7016714) Zhamal Nanaeva (17824328) |
| author_role | author |
| dc.creator.none.fl_str_mv | Ahmet Faruk Aysan (11902115) Jonathan Batten (3966038) Giray Gozgor (9119464) Rabeh Khalfaoui (7016714) Zhamal Nanaeva (17824328) |
| dc.date.none.fl_str_mv | 2024-08-28T15:00:00Z |
| dc.identifier.none.fl_str_mv | 10.1016/j.ribaf.2024.102527 |
| dc.relation.none.fl_str_mv | https://figshare.com/articles/journal_contribution/Metaverse_and_financial_markets_A_quantile-time-frequency_connectedness_analysis/30023590 |
| dc.rights.none.fl_str_mv | CC BY 4.0 info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Commerce, management, tourism and services Banking, finance and investment Economics Econometrics Metaverse Financial markets Volatility spillover Connectedness Quantile vector autoregressive |
| dc.title.none.fl_str_mv | Metaverse and financial markets: A quantile-time-frequency connectedness analysis |
| dc.type.none.fl_str_mv | Text Journal contribution info:eu-repo/semantics/publishedVersion text contribution to journal |
| description | <p dir="ltr">Amidst increasing interest from investors and scholars in the emerging <u>Metaverse market</u>, this paper marks a pioneering attempt to investigate the volatility connections between the Metaverse stock index and traditional financial markets such as Gold, Crude Oil, the Volatility Index,<u> Bitcoin</u>, and the Nasdaq. Utilizing a novel <u>Quantile</u> Vector Autoregressive (QVAR) model, the study assesses the transmission of shocks between the Metaverse market and its counterparts during bearish, normal, and bullish market conditions. The results highlight a significant increase in connectivity during extreme conditions compared to median levels. Notably, the Nasdaq emerges as a principal volatility transmitter to the Metaverse index, while Bitcoin shows minimal influence, suggesting that technological innovations, rather than <u>cryptocurrencies</u>, predominantly drive the Metaverse market. This investigation provides valuable insights for investors and policymakers, considering the nascent stage of Metaverse-related empirical research.</p><h2>Other Information</h2><p dir="ltr">Published in: Research in International Business and Finance<br>License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.ribaf.2024.102527" target="_blank">https://dx.doi.org/10.1016/j.ribaf.2024.102527</a></p> |
| eu_rights_str_mv | openAccess |
| id | Manara2_63b69a22770c8d576cb6bb74e3835312 |
| identifier_str_mv | 10.1016/j.ribaf.2024.102527 |
| network_acronym_str | Manara2 |
| network_name_str | Manara2 |
| oai_identifier_str | oai:figshare.com:article/30023590 |
| publishDate | 2024 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| rights_invalid_str_mv | CC BY 4.0 |
| spelling | Metaverse and financial markets: A quantile-time-frequency connectedness analysisAhmet Faruk Aysan (11902115)Jonathan Batten (3966038)Giray Gozgor (9119464)Rabeh Khalfaoui (7016714)Zhamal Nanaeva (17824328)Commerce, management, tourism and servicesBanking, finance and investmentEconomicsEconometricsMetaverseFinancial marketsVolatility spilloverConnectednessQuantile vector autoregressive<p dir="ltr">Amidst increasing interest from investors and scholars in the emerging <u>Metaverse market</u>, this paper marks a pioneering attempt to investigate the volatility connections between the Metaverse stock index and traditional financial markets such as Gold, Crude Oil, the Volatility Index,<u> Bitcoin</u>, and the Nasdaq. Utilizing a novel <u>Quantile</u> Vector Autoregressive (QVAR) model, the study assesses the transmission of shocks between the Metaverse market and its counterparts during bearish, normal, and bullish market conditions. The results highlight a significant increase in connectivity during extreme conditions compared to median levels. Notably, the Nasdaq emerges as a principal volatility transmitter to the Metaverse index, while Bitcoin shows minimal influence, suggesting that technological innovations, rather than <u>cryptocurrencies</u>, predominantly drive the Metaverse market. This investigation provides valuable insights for investors and policymakers, considering the nascent stage of Metaverse-related empirical research.</p><h2>Other Information</h2><p dir="ltr">Published in: Research in International Business and Finance<br>License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.ribaf.2024.102527" target="_blank">https://dx.doi.org/10.1016/j.ribaf.2024.102527</a></p>2024-08-28T15:00:00ZTextJournal contributioninfo:eu-repo/semantics/publishedVersiontextcontribution to journal10.1016/j.ribaf.2024.102527https://figshare.com/articles/journal_contribution/Metaverse_and_financial_markets_A_quantile-time-frequency_connectedness_analysis/30023590CC BY 4.0info:eu-repo/semantics/openAccessoai:figshare.com:article/300235902024-08-28T15:00:00Z |
| spellingShingle | Metaverse and financial markets: A quantile-time-frequency connectedness analysis Ahmet Faruk Aysan (11902115) Commerce, management, tourism and services Banking, finance and investment Economics Econometrics Metaverse Financial markets Volatility spillover Connectedness Quantile vector autoregressive |
| status_str | publishedVersion |
| title | Metaverse and financial markets: A quantile-time-frequency connectedness analysis |
| title_full | Metaverse and financial markets: A quantile-time-frequency connectedness analysis |
| title_fullStr | Metaverse and financial markets: A quantile-time-frequency connectedness analysis |
| title_full_unstemmed | Metaverse and financial markets: A quantile-time-frequency connectedness analysis |
| title_short | Metaverse and financial markets: A quantile-time-frequency connectedness analysis |
| title_sort | Metaverse and financial markets: A quantile-time-frequency connectedness analysis |
| topic | Commerce, management, tourism and services Banking, finance and investment Economics Econometrics Metaverse Financial markets Volatility spillover Connectedness Quantile vector autoregressive |