ARE STOCK MARKETS AND CRYPTOCURRENCIES CONNECTED?

Muhammad Umar · Ngô Thái Hưng · Shihua Chen · Amjad Iqbal · Khalil Jebran

59 citations0/0 files storedThe Singapore Economic Review

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Financial Risk and Volatility Modeling Market Dynamics and Volatility COVID-19 Pandemic Impacts

Abstract

This study explores the connectedness between cryptocurrencies (Bitcoin, Ethereum, Ripple, Bitcoin cash and Ethereum Operating System) and major stock markets (NYSE composite index, NASDAQ composite index, Shanghai Stock Exchange, Nikkei 225 and Euronext NV). Using the asymmetric dynamic conditional correlation (ADCC) and wavelet coherence approaches, we document a significant time-varying conditional correlation between the majority of the cryptocurrencies and stock market indices and that the negative shocks play a more prominent role than the positive shocks of the same magnitude. Overall, our findings explore potential avenues for diversification for investors across cryptocurrencies and major stock markets.

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References

2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets 2018Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation 2018Dynamic connectedness and integration in cryptocurrency markets 2018Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?2018Effects of the geopolitical risks on Bitcoin returns and volatility 2017Cryptocurrency: A New Investment Opportunity?2018Spillovers between Bitcoin and other assets during bear and bull markets

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