Metaverse and financial markets: A quantile-time-frequency connectedness analysis

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE Research in International Business and Finance Pub Date : 2024-08-24 DOI:10.1016/j.ribaf.2024.102527

Ahmet Faruk Aysan , Jonathan Batten , Giray Gozgor , Rabeh Khalfaoui , Zhamal Nanaeva

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Abstract

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.

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Metaverse 和金融市场：量化时间频率关联性分析

投资者和学者对新兴的 Metaverse 市场的兴趣与日俱增，本文开创性地尝试研究 Metaverse 股指与黄金、原油、波动率指数、比特币和纳斯达克等传统金融市场之间的波动联系。该研究利用一个新颖的量子向量自回归（QVAR）模型，评估了在市场看跌、正常和看涨的情况下，Metaverse 市场与其对应市场之间的冲击传递。研究结果表明，与中位数水平相比，极端情况下的连通性明显增加。值得注意的是，纳斯达克指数成为 Metaverse 指数的主要波动传递者，而比特币的影响微乎其微，这表明推动 Metaverse 市场的主要是技术创新，而不是加密货币。考虑到 Metaverse 相关的实证研究尚处于起步阶段，这项调查为投资者和政策制定者提供了宝贵的见解。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

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