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.
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页数：5
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