In this thesis, we investigate the interconnectedness within the financial markets during
significant global events. By employing the volatility impulse response functions (VIRF)
approach, we address the extent of contagion between the US stock market and various
asset classes in the context of the COVID-19 pandemic, the Russian-Ukraine conflict,
and the collapse of the Silicon Valley Bank. Our research uncovers several noteworthy
findings. Strong signs of contagion were detected from the US stock market to all
assets, with the size of information transmission depending on the specific nature of
the shock. Bitcoin emerges as the standout asset, distinguished by its information
efficiency and sensitivity to market dynamics. At the same time, diverse reactions were
uncovered among different financial assets to various shock origins, as all traditional
assets are found to be highly sensitive to shocks in the banking sector. Computation
of dynamic hedge ratios reveals an escalation in hedging costs during periods of high
uncertainty, with cryptocurrencies demonstrating the highest hedging effectiveness.
Prior to the pandemic, bonds emerged as the most proficient hedge for the US stock market.
Collections
Show Collections
