Cryptocurrencies and stock market fluctuations

被引：1
|
作者：
Musholombo, Bashige [1 ]
机构：
[1] Goethe Univ Frankfurt, GSEFM, Theodor W Adorno Pl 3, D-60323 Frankfurt, Germany
来源：
ECONOMICS LETTERS | 2023年 / 233卷
关键词：
Cryptocurrencies; Stock market; Local projection; Granular instrumental variables; BITCOIN; CONNECTEDNESS; ASSETS;
D O I：
10.1016/j.econlet.2023.111427
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
I adopt the Granular Instrumental Variables (GIVs) approach to construct data-driven idiosyncratic crypto shocks. I then use the identified shocks as an "external instrument"in Local Projection to investigate whether cryptocurrencies market spill over into the stock market. While the correlation between the two markets has increased in recent years, I find no evidence of shocks transmission.
引用
收藏
页数：5
相关论文
共 50 条
  • [21] The dynamics of market efficiency of major cryptocurrencies
    Aslam, Faheem
    Memon, Bilal Ahmed
    Hunjra, Ahmed Imran
    Bouri, Elie
    GLOBAL FINANCE JOURNAL, 2023, 58
  • [22] Are benchmark stock indices, precious metals or cryptocurrencies efficient hedges against crises?
    Kyriazis, Nikolaos A.
    Papadamou, Stephanos
    Tzeremes, Panayiotis
    ECONOMIC MODELLING, 2023, 128
  • [23] BITCOIN PRICE AS ONE OF BASIC CRYPTOCURRENCIES IN RELATION TO THE BASIC STOCK MARKET'S INDICATORS
    Koraus, Antonin
    Gombar, Miroslav
    Vagaska, Alena
    Bacik, Radovan
    Korba, Peter
    Cernak, Filip
    ENTREPRENEURSHIP AND SUSTAINABILITY ISSUES, 2021, 9 (02): : 552 - 569
  • [24] Market efficiency assessment for multiple exchanges of cryptocurrencies
    Souza, Orlando Telles
    Carvalho, Joao Vinicius Franca
    REGE-REVISTA DE GESTAO, 2024, 31 (02): : 137 - 151
  • [25] Assessing the influence of cryptocurrencies on financial market stability
    Farroukh, Arafet
    Metzger, Martina
    Mzoughi, Hela
    EURASIAN ECONOMIC REVIEW, 2024,
  • [26] The evolution of the cryptocurrencies market: A complex networks approach
    Papadimitriou, Theophilos
    Gogas, Periklis
    Gkatzoglou, Fotios
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2020, 376
  • [27] Connectedness between cryptocurrencies, gold and stock markets in the presence of the COVID-19 pandemic
    Ghorbel, Achraf
    Loukil, Sahar
    Bahloul, Walid
    EUROPEAN JOURNAL OF MANAGEMENT AND BUSINESS ECONOMICS, 2024, 33 (04) : 466 - 487
  • [28] Cryptocurrencies Collapse - Analysis of Artificial Intelligence Applications for Countering Coin Value Fluctuations in the Crypto Market
    Tairov, Iskren
    Stefanova, Nadezhda
    TEM JOURNAL-TECHNOLOGY EDUCATION MANAGEMENT INFORMATICS, 2024, 13 (03): : 1905 - 1915
  • [29] A Safe-haven Property of Cryptocurrencies: Evidence in Vietnam Stock Market During Pandemic Crisis
    Nam Sy Ngo
    Huyen Thi Mai Nguyen
    JOURNAL OF ASIAN FINANCE ECONOMICS AND BUSINESS, 2021, 8 (12): : 465 - 471
  • [30] Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies: a comparison between DCC, ADCC and GO-GARCH models
    Fakhfekh, Mohamed
    Jeribi, Ahmed
    Ghorbel, Ahmed
    Hachicha, Nejib
    INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2023, 18 (04) : 978 - 1006
12345