scholarly journals IMPACT OF COVID-19 ON CRYPTOCURRENCIES: EVIDENCE ON INFORMATION TRANSMISSION THROUGH ECONOMIC AND FINANCIAL MARKET SENTIMENTS

2021 ◽  
Vol 10 ◽  
pp. 103-113
Author(s):  
Irfan Haider Shakri ◽  
Jaime Yong ◽  
Erwei Xiang
Keyword(s):  
Financial Market ◽  
Early Phase ◽  
Wavelet Coherence ◽  
Coherence Analysis ◽  
Sample Period ◽  
Market Sentiment ◽  
Economic News ◽  
News Sentiment ◽  
Wavelet Coherence Analysis ◽  
The Relationship

This paper investigates the relationship between the COVID-19 crisis and the two leading cryptocurrencies, Bitcoin and Ethereum, from 31 December 2019 to 18 August 2020. We also use an economic news sentiment index and financial market sentiment index to explore the possible mechanisms through which COVID-19 impacts cryptocurrency. We employ a VAR Granger Causality framework and Wavelet Coherence Analysis and find the cryptocurrency market was impacted in the early phase of the sample period through economic news and financial market sentiments, but this effect diminished after June 2020.  

scholarly journals Assessing the solar variability signature in climate variables by information theory and wavelet coherence

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Ileana Mares ◽  
Venera Dobrica ◽  
Constantin Mares ◽  
Crisan Demetrescu
Keyword(s):  
Information Theory ◽  
Large Scale ◽  
Drought Index ◽  
Bandpass Filter ◽  
Wavelet Coherence ◽  
Coherence Analysis ◽  
Climate Variables ◽  
Total Correlation ◽  
Wavelet Coherence Analysis ◽  
The Relationship

AbstractThe present study aims to investigate the possible influence of solar/geomagnetic forcing on climate variables, such as the drought index, Danube discharge and large-scale atmospheric indices. Our analysis was performed separately for each season for two time periods, 1901–2000 and 1948–2000. The relationship between terrestrial variables and external indices was established based on the application of (1) information theory elements, namely, synergy, redundancy, total correlation, transfer entropy and (2) wavelet coherence analysis. Bandpass filtering has also been applied. The most significant signature of the solar/geomagnetic forcing in the climate variables was obtained for the data smoothed by the bandpass filter. According to our results, significant solar/geomagnetic forcing appears in the terrestrial variables with a delay of 2–3 years.

scholarly journals The motive behind the demand for cryptocurrencies: Theoretical and empirical analysis of the Bitcoin

2021 ◽  
Vol 2 (1) ◽  
pp. 101-117
Author(s):  
Mengshi Zhang ◽  
◽  
Daniel L. Jia ◽  
Keyword(s):  
Theoretical Analysis ◽  
Financial Market ◽  
Wavelet Coherence ◽  
Coherence Analysis ◽  
Financial Assets ◽  
Monetary System ◽  
Blockchain Technology ◽  
Frequency Domains ◽  
Traditional Algorithm ◽  
Wavelet Coherence Analysis

The blockchain technology and cryptocurrency are now in the centre of the financial market. The raise of the cryptocurrencies represented by Bitcoin have attracted a large group of scholars to analyze the underlying dynamics of their price fluctuations. Intensive debate emerged on the intrinsic features of Bitcoin. In theoretical analysis, we developed the principle of monetary convention to define the concept of monetary consensus, capturing the nature of monetary system, and categorize it into three types: traditional, algorithm and hybrid. Based on the Wavelet Coherence Analysis, we try to analyze Bitcoin price dynamics in both time and frequency domains, comparing Bitcoin with financial assets, economic and financial indexes, and other cryptocurrencies.

Chicken-Egg Dilemma for the Relationship Between Price and Volume in Borsa Istanbul

2019 ◽  
pp. 46-69
Author(s):  
Sadullah Çelik ◽  
Ayben Koy
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Distinct Pattern ◽  
Wavelet Coherence ◽  
Coherence Analysis ◽  
Causality Analysis ◽  
Chicken Egg ◽  
Wavelet Coherence Analysis ◽  
The Relationship ◽  
Foreign Shocks

This chapter empirically examines the relationship between stock prices and stock volumes for Borsa Istanbul, the only stock exchange in Turkey. The price-volume debate has been a common focus in the literature as the chicken-egg dilemma probably since the financial markets started to operate in a competitive manner. This chapter employs Borsa Istanbul and also considers the sector indices of the market. The authors employ frequency domain causality analysis of Breitung and Candelon and wavelet coherence analysis of Grinsted et al. with comparisons of the results for each sector. The findings show that (1) it is hard to argue for the existence of a distinct pattern in an emerging stock market like Borsa Istanbul; (2) there are several periods that propose challenges like the increasing foreign share, foreign shocks transmitted to the domestic market, and local effects; and (3) speculation is an inherit part of stock markets; and it is not possible to get rid of but rather act timely to minimize the adverse consequences and to deter market-wide repercussions.

Wavelet coherence analysis of prefrontal oxygenation signals in elderly subjects with hypertension

2014 ◽  
Vol 35 (5) ◽  
pp. 777-791 ◽  
Author(s):  
Zengyong Li ◽  
Ming Zhang ◽  
Ruofei Cui ◽  
Qing Xin ◽  
Lu Liqian ◽  
...  
Keyword(s):  
Wavelet Coherence ◽  
Elderly Subjects ◽  
Coherence Analysis ◽  
Wavelet Coherence Analysis

scholarly journals Multi-scale investigation on streamflow temporal variability and its connection to global climate indices for unregulated rivers in India

2021 ◽  
Author(s):  
Pavan Kumar Yeditha ◽  
Tarun Pant ◽  
Maheswaran Rathinasamy ◽  
Ankit Agarwal
Keyword(s):  
Wavelet Transform ◽  
Temporal Variability ◽  
Global Climate ◽  
Phase Relationship ◽  
Wavelet Coherence ◽  
Climate Indices ◽  
Coherence Analysis ◽  
Cross Wavelet Transform ◽  
Wavelet Coherence Analysis ◽  
Cross Wavelet

Abstract With the increasing stress on water resources for a developing country like India, it is pertinent to understand the dominant streamflow patterns for effective planning and management activities. This study investigates the spatiotemporal characterization of streamflow of six unregulated catchments in India. Firstly, Mann Kendall (MK) and Changepoint analysis were carried out to detect the presence of trends and any abrupt changes in hydroclimatic variables in the chosen streamflows. To unravel the relationships between the temporal variability of streamflow and its association with precipitation and global climate indices, namely, Niño 3.4, IOD, PDO, and NAO, continuous wavelet transform is used. Cross-wavelet transform and wavelet coherence analysis was also used to capture the coherent and phase relationships between streamflow and climate indices. The continuous wavelet transforms of streamflow data revealed that intra-annual (0.5 years), annual (1 year), and inter-annual (2–4 year) oscillations are statistically significant. Furthermore, a better understanding of the in-phase relationship between the streamflow and precipitation at intra-annual and annual time scales were well-captured using wavelet coherence analysis compared to cross wavelet transform. Furthermore, our analysis also revealed that streamflow observed an in-phase relationship with IOD and NAO, whereas a lag correlation with Niño 3.4 and PDO indices at intra-annual, annual and interannual time scales.

scholarly journals IMPACT OF TRADE OPENNESS ON ENVIRONMENT IN CHINA

2020 ◽  
Vol 21 (4) ◽  
pp. 1185-1202 ◽  
Author(s):  
Wen Jun ◽  
Hamid Mahmood ◽  
Muhammad Zakaria
Keyword(s):  
Carbon Emission ◽  
Trade Openness ◽  
Wavelet Coherence ◽  
Coherence Analysis ◽  
Pollution Haven Hypothesis ◽  
Causality Test ◽  
Pollution Haven ◽  
Analysis Phase ◽  
The Impact ◽  
Wavelet Coherence Analysis

The study investigates the impact of trade openness on pollution in China by applying wavelet-coherence analysis, phase-difference technique and Breitung and Candelon (2006) causality test. The estimated results provide some dynamic association between trade openness and pollutant variables. The results indicate that trade openness has increased pollution in China especially after 2001 when China became member of WTO. It suggests that “pollution haven hypothesis” exists in China. These results imply that trade openness has increased exports which has increased domestic production by increasing the scale of industries, which in turn has increased pollution in the country. The findings of spectral domain causality test show that trade openness causes carbon emission both in short, medium and long runs. It indicates that trade openness forecast carbon emissions in China. The results suggest that China should take suitable measures while following trade openness policy to avoid pollution.

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