The asymmetric contagion effect between stock market and cryptocurrency market

Wang, Hao; Wang, Xiaoqian; Yin, Siyuan; Ji, Hao

doi:10.1016/j.frl.2021.102345

Cited by 49 publications

(23 citation statements)

References 19 publications

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“…To examine international stock markets, unlike some studies in the literature, a global stock index was taken into account (Munyas and Atasoy, 2021;Ünvan, 2021;Wang et al, 2021). Due to the interest of investors in crypto assets, especially in emerging markets and economies, as well as developed countries, the trading volume has, in some cases, become comparable to the trading volumes in local stock markets (International Monetary Fund, 2021).…”

Section: Methodsmentioning

confidence: 99%

Investigating the Market Linkages between Cryptocurrencies and Conventional Assets

Yavuz

BOZKURT²,

Boğa³

2022

emaj

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Many investors include cryptocurrencies as potential investment tools in their portfolios. Previous studies have mostly analyzed Bitcoin regarding its hedge and safe haven features. Although the cryptocurrency market has expanded far beyond Bitcoin, few studies have examined the interaction among all other cryptocurrencies and conventional financial assets. For this purpose, as the dependent variable, we included the cryptocurrency index to represent the cryptocurrency market, whereas international stocks, bonds, United States (US) dollars, gold, and commodities as independent variables in the analysis. The interactions among the variables were analyzed using the Granger causality tests. The analysis results revealed a two-way causality relationship between the cryptocurrency market and the bond markets, indicating that the cryptocurrency index can be used to predict bond prices and vice versa.

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Section: Methodsmentioning

confidence: 99%

Investigating the Market Linkages between Cryptocurrencies and Conventional Assets

Yavuz

BOZKURT²,

Boğa³

2022

emaj

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show abstract

“…(2019) Litecoin USA Litecoin is indeed the safest way to hedge over the US equity market's volatility. Wang et al. (2021) Bitcoin, Ethereum USA Asymmetric contagion effects between the two financial markets.…”

Section: Content Analysismentioning

confidence: 99%

“…The consistently evolving dependent relationships between cryptocurrencies and stock market indexes of Japan and the USA are largely positive, signifying that stock markets are inclined to acquire price fluctuations in cryptocurrency markets . In a recent study, Wang et al (2021) evaluated the asymmetric contagion impact within the US stock market and the cryptocurrency market and hypothesized that interactive linkages exist in both these two forms of financial marketplaces. Moreover, they explained that the cryptocurrency market's price changes could serve as a "weathervane" for predicting stock market price fluctuations.…”

Section: Relationship Between Cryptocurrency and Stock Market In Adva...mentioning

confidence: 99%

Cryptocurrency and stock market: bibliometric and content analysis

Jeris

Chowdhury²,

Akter³

et al. 2022

Heliyon

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“… Bakry et al, 2022 , Batten et al, 2022a , Batten et al, 2022b , Bouri et al, 2022 , Cheng and Yen, 2020 , Evrim Mandaci and Cagli, 2022 , Jabotinsky and Sarel, 2020 , Jiang et al, 2022 , Kakinaka and Umeno, 2022 , Melki and Nefzi, 2022 , Umar et al, 2021a , Umar et al, 2021b , Wang et al, 2022 .…”

Section: Uncited Referencesmentioning

confidence: 99%