Relation Between Digital Currencies and Other Financial Markets: A Non-Linear and Multivariate Analysis

Abhishek Sah () and Biswajit Patra ()
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Abhishek Sah: Indian Institute of Science Education and Research (IISER) Bhopal
Biswajit Patra: Indian Institute of Science Education and Research (IISER) Bhopal

Asia-Pacific Financial Markets, 2025, vol. 32, issue 2, No 12, 663-689

Abstract: Abstract This study investigates the relationship between digital currency and broad financial markets covering equities, currencies, bonds, crude oil, and gold. It uses the Non-linear Autoregressive Distributed Lag model and wavelet coherence. The results demonstrate some relationships between digital currencies and other financial assets, with some evidence of asymmetry and a lead-lag relationship that is mostly significant at the medium timescales. The results provide useful insights for various market participants.

Keywords: Cryptocurrency; Wavelet coherence; NARDL; Asymmetry; Multiscale (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10690-024-09466-7

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