This study employs wavelet analysis to examine the contagion between cryptocurrency returns and sovereign bond yields within the West African Monetary Zone (WAMZ) economies, capturing both the frequency-dependent nature of the relationship and time-varying behavior. Authors analyze daily data spanning 01/26/2021 to 10/07/2022, with a total observable value of 444. The study selected periods of uncertainty within financial markets, namely, the COVID-19 pandemic and the Russia–Ukraine war because there was a need to understand how securities react during such times to help investors plan accordingly. Their results show a negative correlation between sovereign bond yields and cryptocurrency returns, suggesting that investors can use these asset classes as hedge agents, diversifiers, and safe-haven instruments. […]