Contemporaneous relationship between crypto market and stock market

Anshul Agrawal

International Journal of Management Practice, 2024, vol. 17, issue 5, 554-576

Abstract: This study examines the interconnection between the price of Bitcoin and the stock market prices of crude oil, DXY, gold, Nasdaq index, S&P 500 index, and TLT-bond by using ten-years worth of daily closing price data collected from the world wind database. During the study, the Granger causality block exogeneity test validates that there is a unidirectional relationship between Nasdaq to Bitcoin and Bitcoin to crude oil. The relationship between Bitcoin and S&P 500 index is bidirectional. Additionally, the quantile regression technique reveals that the S&P 500 index behaves like contrarian traders, whereas Nasdaq and crude oil stock are momentum traders. Nasdaq and crude oil are the most active traders at every quantile. DXY and TLT-bond are more active at upper and lower quantiles, S&P 500 is active only at upper quantiles, and gold is an active trader at lower quantiles. The findings of this study are immensely helpful for portfolio managers, investors, and traders to make investments and portfolio diversification decisions with limited risks.

Keywords: Bitcoin; stock market; contrarian trader; momentum trader; quantile regression. (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=140868 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmpra:v:17:y:2024:i:5:p:554-576

Access Statistics for this article

More articles in International Journal of Management Practice from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().