Ahmet Faruk Aysan , Jonathan Batten , Giray Gozgor , Rabeh Khalfaoui , Zhamal Nanaeva
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Metaverse and financial markets: A quantile-time-frequency connectedness analysis
Amidst increasing interest from investors and scholars in the emerging Metaverse market, 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, Bitcoin, and the Nasdaq. Utilizing a novel Quantile 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 cryptocurrencies, predominantly drive the Metaverse market. This investigation provides valuable insights for investors and policymakers, considering the nascent stage of Metaverse-related empirical research.
期刊介绍：
Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance
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