Cryptocurrencies, FOREX and stocks: portfolio diversification and the Russia-Ukraine war
The aim of this study is to investigate how the Russia-Ukraine war could affect the diversification benefits between stock index, FOREX and cryptocurrencies. The wavelet coherence is used to examine the difference in co-movement between assets during normal and war periods and dynamic conditional co...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2023
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| Online Access: | https://eprints.nottingham.ac.uk/71136/ |
| _version_ | 1848800648791851008 |
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| author | Tan, Frederick Jia Wei |
| author_facet | Tan, Frederick Jia Wei |
| author_sort | Tan, Frederick Jia Wei |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The aim of this study is to investigate how the Russia-Ukraine war could affect the diversification benefits between stock index, FOREX and cryptocurrencies. The wavelet coherence is used to examine the difference in co-movement between assets during normal and war periods and dynamic conditional correlation (DCC) is used to examine the correlation between cryptocurrencies and other assets to examine its diversification properties during war periods. Wavelet coherence results indicates that not all asset’s correlation would increase during war and international portfolio diversification benefits still exist in a globalised and integrated economy. Contagion effect is found to increase for some assets during war period. Also, the DCC proves that not all cryptocurrencies act as effective diversifiers for FOREX and stock market. However, cryptocurrencies are found to be a more effective diversifier for FOREX when compared to stock. |
| first_indexed | 2025-11-14T20:54:54Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-71136 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:54:54Z |
| publishDate | 2023 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-711362023-02-21T08:24:02Z https://eprints.nottingham.ac.uk/71136/ Cryptocurrencies, FOREX and stocks: portfolio diversification and the Russia-Ukraine war Tan, Frederick Jia Wei The aim of this study is to investigate how the Russia-Ukraine war could affect the diversification benefits between stock index, FOREX and cryptocurrencies. The wavelet coherence is used to examine the difference in co-movement between assets during normal and war periods and dynamic conditional correlation (DCC) is used to examine the correlation between cryptocurrencies and other assets to examine its diversification properties during war periods. Wavelet coherence results indicates that not all asset’s correlation would increase during war and international portfolio diversification benefits still exist in a globalised and integrated economy. Contagion effect is found to increase for some assets during war period. Also, the DCC proves that not all cryptocurrencies act as effective diversifiers for FOREX and stock market. However, cryptocurrencies are found to be a more effective diversifier for FOREX when compared to stock. 2023-02-18 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/71136/1/MSc%20F%26I%20Dissertation_Frederick%20Tan%20Jia%20Wei_20410733.pdf Tan, Frederick Jia Wei (2023) Cryptocurrencies, FOREX and stocks: portfolio diversification and the Russia-Ukraine war. [Dissertation (University of Nottingham only)] Russia-Ukraine war cryptocurrency FOREX stock international portfolio diversification |
| spellingShingle | Russia-Ukraine war cryptocurrency FOREX stock international portfolio diversification Tan, Frederick Jia Wei Cryptocurrencies, FOREX and stocks: portfolio diversification and the Russia-Ukraine war |
| title | Cryptocurrencies, FOREX and stocks: portfolio diversification and the Russia-Ukraine war |
| title_full | Cryptocurrencies, FOREX and stocks: portfolio diversification and the Russia-Ukraine war |
| title_fullStr | Cryptocurrencies, FOREX and stocks: portfolio diversification and the Russia-Ukraine war |
| title_full_unstemmed | Cryptocurrencies, FOREX and stocks: portfolio diversification and the Russia-Ukraine war |
| title_short | Cryptocurrencies, FOREX and stocks: portfolio diversification and the Russia-Ukraine war |
| title_sort | cryptocurrencies, forex and stocks: portfolio diversification and the russia-ukraine war |
| topic | Russia-Ukraine war cryptocurrency FOREX stock international portfolio diversification |
| url | https://eprints.nottingham.ac.uk/71136/ |