Revisiting the cryptocurrencies role in stock markets: ADCC-GARCH and Wavelet Coherence

Susovon Jana, Tarak Nath Sahu and Krishna Dayal Pandey

Macroeconomics and Finance in Emerging Market Economies, 2024, vol. 17, issue 1, 110-135

Abstract: The current study analyses five major cryptocurrencies and four global stock markets to explore the hedging, safe haven and diversification roles of cryptocurrencies by employing ADCC-GARCH and Wavelet Coherence Technique. The study has found that stock and cryptocurrency markets return have high volatility persistence in the long run and confirms the bi-directional volatility transmission. Also, the hedging capacity of digital currencies varies depending on market choice. Tether operates as the most effective diversifier for all studied stock indices and is a strong safe haven asset during market turmoil. It is also documented that majority of cryptocurrencies cannot offer diversification advantages.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/17520843.2023.2211380 (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:taf:macfem:v:17:y:2024:i:1:p:110-135

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REME20

DOI: 10.1080/17520843.2023.2211380

Access Statistics for this article

Macroeconomics and Finance in Emerging Market Economies is currently edited by Subrata Sarkar and Ashima Goyal

More articles in Macroeconomics and Finance in Emerging Market Economies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().