Stock market and cryptocurrency market volatility

Vyacheslav Manevich (), Anatoly Peresetsky and Polina Pogorelova ()
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Vyacheslav Manevich: NRU HSE, Moscow, Russian Federation
Polina Pogorelova: NRU HSE, Moscow, Russian Federation

Applied Econometrics, 2022, vol. 65, 65-76

Abstract: In the last ten years, cryptocurrencies have developed rapidly, of which bitcoin has the largest capitalization. With the development of the cryptocurrency market, more and more investors include bitcoin in their asset portfolio. In this regard, the question of the relationship between the volatility of the cryptocurrency market and the stock market is of particular interest. This article analyzes the common stochastic component of the realized volatility of bitcoin and e-mini S&P futures. The assessment of the global stochastic component and its share in the volatility of the S&P 500 futures and bitcoin in the rolling window made it possible to analyze the dynamics of the relationship between the realized volatility of these two assets, as well as put forward a hypothesis about the causes and preconditions for volatility flows between the cryptocurrency market and the stock market

Keywords: bitcoin; cryptocurrency; realized volatility; state–space model; S&P 500 (search for similar items in EconPapers)
JEL-codes: C32 C58 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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