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On the dynamic connectedness between the G7 stock market indices and different asset classes: Fresh insights from the COVID-19 pandemic and Russia–Ukraine war

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Abstract

In this paper, we attempt to examine the dynamic relationship between the G7 stock markets and other assets during the outbreak of the health and political crises. To this end, we apply the wavelet methods on daily prices of the G7 stock indices, gold, cryptocurrencies, and stablecoin over the period 02/01/2019–18/04/2022. The empirical findings clearly show a significant coherence among different assets. Different lead–lag relationships are detected during various time horizons with the outbreak of political and health crises. In particular, Tether leads the G7 stock market indices whereas other assets move with and are driven by the G7 market indices. This can highlight their inability to play as safe havens during the advent of health and political crises, except for the stablecoin to some extent. Such findings can have insightful implications from portfolio perspectives.

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Availability of data and materials

The datasets used and/or analyzed during the current study are available from the corresponding author on reasonable request.

Notes

  1. The daily returns are computed as \({\text{r}}_{{{\text{i,t}}}} = \ln \left( {{\text{p}}_{{{\text{i,t}}}} /{\text{p}}_{{{\text{i}},{\text{t}} - 1}} } \right)\) where, \({\text{P}}_{{{\text{i}},{\text{t}} - 1}}\) and \({\text{P}}_{{{\text{i}},{\text{t}}}}\) are the closing prices in market i at time t and t − 1.

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Authors and Affiliations

  1. Higher School of Commerce of Tunis, Manouba University, Manouba, Tunisia

    Azza Bejaoui

  2. Faculty of Economics and Management of Sfax, Sfax, Tunisia

    Wajdi Frikha

  3. Faculty of Economics and Management of Mahdia, Mahdia, Tunisia

    Ahmed Jeribi

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  1. Azza Bejaoui
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  2. Wajdi Frikha
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  3. Ahmed Jeribi
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AB wrote the paper, analyzed and interpreted data and empirical results; WF performed econometric models; and AJ collected data.

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Correspondence to Azza Bejaoui.

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Bejaoui, A., Frikha, W. & Jeribi, A. On the dynamic connectedness between the G7 stock market indices and different asset classes: Fresh insights from the COVID-19 pandemic and Russia–Ukraine war. SN Bus Econ 3, 193 (2023). https://doi.org/10.1007/s43546-023-00562-w

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