Assessment of Cryptocurrencies Integration into the Financial Market by Applying a Dynamic Equicorrelation Model

Graciela Gomes, Mário Queirós and Patrícia Ramos
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Graciela Gomes: ISCAP, Polytechnic of Porto
Mário Queirós: CEOS.PP, ISCAP, Polytechnic of Porto
Patrícia Ramos: CEOS.PP, ISCAP, Polytechnic of Porto, Institute for Systems and Computer Engineering, Technology and Science,

Scientific Annals of Economics and Business (continues Analele Stiintifice), 2024, vol. 71, issue 3, 353 - 380

Abstract: This work aims to contribute to a deeper understanding of cryptocurrencies, which have emerged as a unique form within the financial market. While there are numerous cryptocurrencies available, most individuals are only familiar with Bitcoin. This knowledge gap and the lack of literature on the subject motivated the present study to shed light on the key characteristics of cryptocurrencies, along with their advantages and disadvantages. Additionally, we seek to investigate the integration of cryptocurrencies within the financial market by applying a dynamic equicorrelation model. The analysis covers ten cryptocurrencies from June 2nd, 2016 to May 25th, 2021. Through the implementation of the dynamic equicorrelation model, we have reached the conclusion that the degree of integration among cryptocurrencies primarily depends on factors such as trading volume, global stock index performance, energy price fluctuations, gold price movements, financial stress index levels, and the index of US implied volatility.

Keywords: cryptocurrencies; bitcoin; Blockchain; finance; decentralization; Dynamic Equicorrelation Model. (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:aic:saebjn:v:71:y:2024:i:3:p:353-380:n:5

DOI: 10.47743/saeb-2024-0021

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