Causality between stock indices and cryptocurrencies before and during the Russo–Ukrainian war

Nidhal Mgadmi (), Tarek Sadraoui () and Ameni Abidi ()
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Nidhal Mgadmi: University of Manouba-Tunisia
Tarek Sadraoui: University of Manouba-Tunisia
Ameni Abidi: University of Manouba-Tunisia

International Review of Economics, 2024, vol. 71, issue 2, No 8, 323 pages

Abstract: Abstract In this paper, we study the unidirectional interdependence between the stock indices of Japan, Canada, Germany, France, Russia, Ukraine, and the United States with the seven most popular cryptocurrencies: Bitcoin, Ethereum, Litecoin, Dash, Ripple, DigiByte, and XEM. We focus on two sub-periods: the first before the war in July 1, 2017 to September 31, 2019 and the second during the war in the start of the Russian invasion of Ukraine to December 16, 2023. We use the Granger causality test (Econom J Econom Soc 37:424–438, 1969) in levels to investigate the strong dependence between the seven stock indices and the seven cryptocurrencies. We find that the unidirectional dependence between these two asset classes disappears during the war due to high volatility, as evidenced by the GARCH and FGARCH models.

Keywords: FGARCH; Russo–Ukrainian war; Cryptocurrencies; FGARCH; Causality (search for similar items in EconPapers)
JEL-codes: C02 D12 E11 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s12232-023-00444-5

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