{"title":"Liquidity Connectedness Among Major Financial Asset Classes: Do Uncertainty Factors Matter?","authors":"Ha-Phuong Bui, Thai Hong Le","doi":"10.1007/s10690-024-09478-3","DOIUrl":null,"url":null,"abstract":"<p>This paper aims to examine the liquidity connectedness between major asset classes, including cryptocurrencies, oil, gold, stocks, and bonds, over the period from September 2014 to November 2022. Results from the time-varying parameter vector autoregression (TVP-VAR) show that the liquidity connectedness between the examined asset classes is generally low, with Bitcoin being the main transmitter of liquidity shocks while oil and bonds act as net receivers. Next, we employ the biwavelet analysis to investigate the co-movement between the liquidity connectedness index (TCI) and various uncertainty factors. Our findings suggest a weak correlation between the TCI and uncertainty factors, and especially no significant correlation between the TCI and geopolitical risk. However, some notable correlation still appears during the 2014–2015 and 2018–2021 periods. During the former period, the TCI plays the leading role, whereas during the latter period it is affected by various risk factors.</p>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"89 1","pages":""},"PeriodicalIF":2.5000,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Financial Markets","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s10690-024-09478-3","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
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Abstract
This paper aims to examine the liquidity connectedness between major asset classes, including cryptocurrencies, oil, gold, stocks, and bonds, over the period from September 2014 to November 2022. Results from the time-varying parameter vector autoregression (TVP-VAR) show that the liquidity connectedness between the examined asset classes is generally low, with Bitcoin being the main transmitter of liquidity shocks while oil and bonds act as net receivers. Next, we employ the biwavelet analysis to investigate the co-movement between the liquidity connectedness index (TCI) and various uncertainty factors. Our findings suggest a weak correlation between the TCI and uncertainty factors, and especially no significant correlation between the TCI and geopolitical risk. However, some notable correlation still appears during the 2014–2015 and 2018–2021 periods. During the former period, the TCI plays the leading role, whereas during the latter period it is affected by various risk factors.
期刊介绍：
The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering.
Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome.
Officially cited as: Asia-Pac Financ Markets
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