Сравнительный инвестиционный анализ криптовалют и традиционных финансовых активов в условиях геополитической напряженности

Аннотация

Dealing with interconnectedness and risk spillovers among various financial asset classes, portfolio risk, and the development of efficient hedging, diversification, and safe-haven strategies are necessary for in-depth analysis in financial asset management. Modern financial literature on dynamic linkages amongst various asset classes has determined diverse investment strategies for traditional financial assets such as equities, bonds, gold, and foreign currencies. During financial crises and geopolitical turbulence, uncertainties significantly impact on investment returns. Investors and policymakers aim to build portfolios of financial assets with high returns and low-risk leverage. Despite the myriad investment options available previously, the rise of crypto assets has altered market dynamics, presenting a new class of investment. Since 2009 crypto assets emerged in the mainstreaming financial market and snatched a great attention to investors, portfolio managers, policy makers and academic world. Its influences are such enormous that many central banks are forced to adopt new policies and central bank digital currency (CBDC). Crypto assets present several unique features like cross-border investments, tax advantages, owner anonymity, and limited government oversight, introducing many challenges for financial market regulators. Investors continually adjust their positions based on market conditions, leading to the need for comparative analysis between crypto and traditional financial assets through novel econometric estimation. This study suggests effective and informed investment decision-making during both normal and turbulent market situations. The significance of comparative investment analysis lies in offering insights into finance research specialties, including the valuation of financial assets, portfolio management, investment decisions, financial risk management, and crises in financial markets. This research gains relevance due to the emergence of crypto assets as a new investment class available for Russian investors during crises and economic turbulence. This study offers solutions for optimizing stock market portfolios and making productive investment choices among digital assets and conventional financial assets within the context of an economic crisis. Specifically, it examines investment options in top-order trading assets such as Bitcoin, equities, bonds, gold, and exchange rate markets, providing comprehensive guidance for investors, governments, policymakers, and financial regulators. The analysis of linkages among crypto and traditional financial assets during heightened volatility caused by several disruptive economic setbacks such as COVID-19, the Russia-Ukraine conflict, extreme volatility of oil prices shocks, turbulence of high local and international geopolitical risk to Russia, the high uncertainty in economic policy that associated with the Russian financial market. The timeframe selected for this study makes the assessment more important where the Russian financial market faces heightened external shocks. During such turbulence situation examining volatility spillover to assess the connectedness among underlined assets might be altered due to consequential impact of crisis on portfolio diversification, hedging and safe haven of the selected assets. The Russian financial market witnessed a severe meltdown due to the unprecedented impact of the ongoing crisis with Ukraine since 2022. In response to this uncertainty, investors flock towards investment in safe-haven assets to protect their investments. Finally, in the current juncture of a volatile market, the stakeholders of the markets are worried about how traditional assets can relate to the digital asset class. With the preview of this uncertain economic situation, this research study analyzes the quantile connectedness and spillover dynamic linkage among digital and conventional assets. This study is an attempt to unravel the connectedness among crypto and conventional assets including during COVID-19 and the Russia-Ukraine conflict using cross-quantilogram estimation. In addition, this study provides potential resilience among the set of assets to external shocks such as oil prices volatility, geopolitical risk, and economic policy uncertainty and its impact on the underlined assets in the Russian financial market. Finally, this research study provides investment strategies such as hedging, diversification, and safe-haven analysis for investors interested in the Russian financial market by employing the wavelet quantile correlation approach.