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.
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页数：16
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