A study of the impact of cryptocurrency price volatility on the stock and gold markets

被引：0
|
作者：
Zhang, Xiangyu [1 ]
Chen, Zhuming [1 ]
Wang, Shengyu [2 ]
机构：
[1] Sun Yat Sen Univ, Sch Business, Guangzhou 510275, Peoples R China
[2] Univ Sydney, USYD Business Sch, Sydney, NSW 2006, Australia
来源：
FINANCE RESEARCH LETTERS | 2024年 / 69卷
基金：
中国国家自然科学基金;
关键词：
Cryptocurrency; Price fluctuation; Stock market; Gold market;
D O I：
10.1016/j.frl.2024.106114
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper selects data from January 18, 2018, to May 6, 2024, as a sample to study the impact of cryptocurrency price volatility on the stock and gold markets. The empirical study finds that the price volatility of the cryptocurrency market causes the price of the stock market to fluctuate in the same direction, and the price volatility of the cryptocurrency market causes the price of the gold market to fluctuate in the opposite direction.
引用
收藏
页数：7
相关论文
共 50 条
  • [41] Price volatility in ethanol markets
    Serra, Teresa
    Zilberman, David
    Gil, Jose
    [J]. EUROPEAN REVIEW OF AGRICULTURAL ECONOMICS, 2011, 38 (02) : 259 - 280
  • [42] Price volatility in the airline markets
    Gillen, David
    Mantin, Benny
    [J]. TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW, 2009, 45 (05) : 693 - 709
  • [43] An Impact of the Japan and the US Stock Return Volatility for Two Stock Markets: An Empirical Study of Taiwan and Korea Countries
    Horng, Wann-Jyi
    Hu, Tien-Chung
    [J]. 2012 6TH INTERNATIONAL CONFERENCE ON NEW TRENDS IN INFORMATION SCIENCE, SERVICE SCIENCE AND DATA MINING (ISSDM2012), 2012, : 84 - 88
  • [44] Futures markets and spot price volatility: A case study
    Morgan, CW
    [J]. JOURNAL OF AGRICULTURAL ECONOMICS, 1999, 50 (02) : 247 - 257
  • [45] Price delay and market frictions in cryptocurrency markets
    Koechling, Gerrit
    Mueller, Janis
    Posch, Peter N.
    [J]. ECONOMICS LETTERS, 2019, 174 : 39 - 41
  • [46] How is price explosivity triggered in the cryptocurrency markets?
    Yuzhi Cai
    Thanaset Chevapatrakul
    Danilo V. Mascia
    [J]. Annals of Operations Research, 2021, 307 : 37 - 51
  • [47] COVID-19 pandemic's impact on intraday volatility spillover between oil, gold, and stock markets
    Mensi, Walid
    Vo, Xuan Vinh
    Kang, Sang Hoon
    [J]. ECONOMIC ANALYSIS AND POLICY, 2022, 74 : 702 - 715
  • [48] Macroeconomic news and intraday seasonal volatility in the cryptocurrency markets
    Ben Omrane, Walid
    Houidi, Fatma
    Savaser, Tanseli
    [J]. APPLIED ECONOMICS, 2024, 56 (38) : 4594 - 4610
  • [49] Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets
    Kocaarslan, Baris
    Sari, Ramazan
    Gormus, Alper
    Soytas, Ugur
    [J]. JOURNAL OF COMMODITY MARKETS, 2017, 7 : 41 - 56
  • [50] Volatility and dependence in cryptocurrency and financial markets: a copula approach
    Liu, Jinan
    Serletis, Apostolos
    [J]. STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2024, 28 (01): : 119 - 149
12345