Exploring fluctuations and interconnected movements in stock, commodity, and cryptocurrency markets

Isik Akin, Meryem Akin, Zafer Ozturk, Affan Hameed, Victoria Opara and Hakan Satiroglu

British Actuarial Journal, 2024, vol. 29, -

Abstract: This research employs a vector autoregression (VAR) analysis to explore the volatility and dynamic interactions between stock, commodity, and cryptocurrency markets. It focuses on the returns of the S&P 500, gold, crude oil, and Bitcoin to analyse their interconnections. Our results indicate that Bitcoin returns positively affect S&P 500 and crude oil, but negatively impact gold. Conversely, crude oil returns have a positive influence on gold but lead to decreased returns for Bitcoin and the S&P 500. Similarly, higher gold returns correspond to increased returns in crude oil and S&P 500 but decreased returns in Bitcoin. The rise of the S&P 500 negatively influences Bitcoin and crude oil returns, while gold returns remain unaffected. However, these relationships exhibit weak and limited strength. Including these assets in a portfolio can help risk mitigation, as Bitcoin diversifies crude oil, gold, and S&P 500, and crude oil diversifies S&P 500. These findings contribute to our understanding of global financial dynamics and inform decision-making in risk assessment, portfolio management, risk mitigation, and diversification strategies.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:cup:bracjl:v:29:y:2024:i::p:-_13

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