ARE STOCK MARKETS AND CRYPTOCURRENCIES CONNECTED?

被引：30

作者：

Umar, Muhammad ^{[1
]}

Hung, Ngo Thai ^{[2
]}

Chen, Shihua ^{[3
]}

Iqbal, Amjad ^{[4
,5
]}

Jebran, Khalil ^{[3
]}

机构：

[1] East China Jiaotong Univ, Sch Econ & Management, Nanchang, Jiangxi, Peoples R China

[2] Univ Finance Mkt, Ho Chi Minh, Vietnam

[3] Dongbei Univ Finance & Econ, Sch Business Adm, Dalian, Peoples R China

[4] Riphah Int Univ, Riphah Sch Business & Management, Lahore, Pakistan

[5] Fudan Univ, Sch Management, Shanghai, Peoples R China

来源：

SINGAPORE ECONOMIC REVIEW | 2020年

基金：

中国国家自然科学基金;

关键词：

Cryptocurrencies; Stock market indices; connectedness; ADCC; wavelet coherence; BITCOIN RETURNS; INTEGRATION; VOLATILITY; ASSETS;

D O I：

10.1142/S0217590820470050

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页数：16

共 50 条

[11] Cryptocurrencies and stock market indices. Are they related?
Alberiko Gil-Alana, Luis
Abakah, Emmanuel Joel Aikins
Romero Rojo, Maria Fatima
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2020, 51
[12] Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19
Li, Zijian
Meng, Qiaoyu
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 59
[13] Causality and dynamic spillovers among cryptocurrencies and currency markets
Elsayed, Ahmed H.
Gozgor, Giray
Lau, Chi Keung Marco
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2022, 27 (02) : 2026 - 2040
[14] Dynamic connectedness, hedge and safe-haven effects: cryptocurrencies, precious metals and African stock markets
Korsah, David
Mensah, Lord
Osei, Kofi Achampong
Amewu, Godfred
INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2025,
[15] Multi-period impacts and network connectivity of cryptocurrencies to international stock markets
Li, Jiang-Cheng
Xu, Yi-Zhen
Tao, Chen
Zhong, Guang-Yan
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2025, 658
[16] UNVEILING THE LINKAGES BETWEEN EMERGING STOCK MARKET INDICES AND CRYPTOCURRENCIES
Ahmed, Wajid Shakeel
Mehmood, Ahsan
Sheikh, Talha
Bachaya, Allah
ASIAN ACADEMY OF MANAGEMENT JOURNAL, 2022, 27 (02) : 189 - 209
[17] Time and frequency dynamics of connectedness between cryptocurrencies and commodity markets
Mo, Bin
Meng, Juan
Zheng, Liping
RESOURCES POLICY, 2022, 77
[18] The Predictive Power of Social Media Sentiment: Evidence from Cryptocurrencies and Stock Markets Using NLP and Stochastic ANNs
di Tollo, Giacomo
Andria, Joseph
Filograsso, Gianni
MATHEMATICS, 2023, 11 (16)
[19] Dynamic linkages among cryptocurrencies, exchange rates and global equity markets
Kostika, Eleftheria
Laopodis, Nikiforos T.
STUDIES IN ECONOMICS AND FINANCE, 2020, 37 (02) : 243 - 265
[20] Hedging effectiveness of cryptocurrencies in the European stock market
Gambarelli, Luca
Marchi, Gianluca
Muzzioli, Silvia
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2023, 84

← 1 2 3 4 5 →