Cryptocurrencies and stock market fluctuations

被引：0
|
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.
引用
收藏
页数：5
相关论文
共 50 条
  • [1] Mutual coupling between stock market and cryptocurrencies
    Ahmed, Maruf Yakubu
    Sarkodie, Samuel Asumadu
    Leirvik, Thomas
    [J]. HELIYON, 2023, 9 (05)
  • [2] Cryptocurrencies and stock market indices. Are they related?
    Alberiko Gil-Alana, Luis
    Abakah, Emmanuel Joel Aikins
    Romero Rojo, Maria Fatima
    [J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2020, 51
  • [3] Hedging effectiveness of cryptocurrencies in the European stock market
    Gambarelli, Luca
    Marchi, Gianluca
    Muzzioli, Silvia
    [J]. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2023, 84
  • [4] A wavelet analysis of investing in cryptocurrencies in the Indian stock market
    Jana, Susovon
    Sahu, Tarak Nath
    [J]. INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2024,
  • [5] Economists and the stock market: Speculative theories of stock market fluctuations
    Davidson, S
    [J]. ECONOMIC RECORD, 2001, 77 (239) : 419 - 421
  • [6] STOCK-MARKET FLUCTUATIONS
    VAGA, T
    [J]. PHYSICS TODAY, 1979, 32 (02) : 80 - 80
  • [7] UNVEILING THE LINKAGES BETWEEN EMERGING STOCK MARKET INDICES AND CRYPTOCURRENCIES
    Ahmed, Wajid Shakeel
    Mehmood, Ahsan
    Sheikh, Talha
    Bachaya, Allah
    [J]. ASIAN ACADEMY OF MANAGEMENT JOURNAL, 2022, 27 (02) : 189 - 209
  • [8] MONETARY SHOCKS AND STOCK MARKET FLUCTUATIONS: WITH AN APPLICATION TO THE CHINESE STOCK MARKET
    Zhang, Bo
    Hu, Jinyan
    Jiang, Mingming
    Guo, Feng
    [J]. SINGAPORE ECONOMIC REVIEW, 2017, 62 (04): : 875 - 904
  • [9] Stock ownership patterns, stock market fluctuations, and consumption
    Poterba, JM
    Samwick, AA
    [J]. BROOKINGS PAPERS ON ECONOMIC ACTIVITY, 1995, (02) : 295 - 372
  • [10] Demographics and US Stock Market Fluctuations
    Favero, Carlo A.
    Tamoni, Andrea
    [J]. CESIFO ECONOMIC STUDIES, 2011, 57 (01) : 25 - 43
12345