Examining Cryptocurrency Dynamics with Asian Equity Indices and Commodities: A Wavelet Coherence Analysis

Abstract

A wide range of interest has been shown in this field by investors and decision-makers due to the correlation between cryptocurrencies, Asian stock indexes, and commodities in the global financial market through partitioning the data and applying the wavelet analysis approach to analyze the described movement of various variables. Moreover, this study seeks to provide information to fintech financiers and policymakers as well about the examined variables. Time-series data was obtained from 01^st January 2019 to 31^st December 2023 and analyzed from multiple internet sources about commodities, Asian Stock indices, and cryptocurrency prices. To find specific patterns and trends in a certain area, research used the wavelet approach to analyze the data and separate each series into a separate frequency band. The findings showed that there is a highly significant relationship among commodities, Asian stock indexes, and cryptocurrency in different frequency bands. On the other hand, a negative correlation was found in low frequency bands between the prices of commodities and cryptocurrency, whilst a positive correlation was found in high frequency bands between cryptocurrency and Asian Stock indices.