Volatility Spillovers and Correlation Between Cryptocurrencies and Asian Equity Market

Nidhi Malhotra and Saumya Gupta
Additional contact information
Nidhi Malhotra: Lal Bahadur Shastri Institute of Management, Sector-11, Dwarka, New Delhi, India
Saumya Gupta: PGDM (Finance) Student, Lal Bahadur Shastri Institute of Management, Sector-11, Dwarka, New Delhi, India

International Journal of Economics and Financial Issues, 2019, vol. 9, issue 6, 208-215

Abstract: Although, the growth in the cryptocurrency market slowed down after the meteoric rise in late 2017, the market is still enjoying steady capital inflow. This has made the study of market dynamics between the cryptocurrencies and equity market indispensable. In this paper, the study of the volatility spillovers and correlation between the two has been undertaken by considering five Asian stock indices and four cryptocurrencies ranging from November 2014 to December 2018, to cover three phenomena-Leverage effect, Volatility spillovers and Time varying correlation using EGARCH, Diagonal BEKK and DCC tests respectively. Firstly, the EGARCH test reveals the absence of leverage effect in the returns of cryptocurrenices. Secondly, the multivariate GARCH test shows, out of all the cryptocurrencies taken, the past innovations in Bitcoin affect the future volatility of the equity market returns the most. Lastly, the DCC model reveals evidence of time varying correlation between the markets and Bitcoin.

Keywords: Cryptocurrencies; Asian Equity Market; Volatility Spillovers; Dynamic Conditional Correlation (search for similar items in EconPapers)
JEL-codes: C15 C32 G12 G14 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.econjournals.com/index.php/ijefi/article/download/8624/pdf (application/pdf)
https://www.econjournals.com/index.php/ijefi/article/view/8624/pdf (text/html)

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:eco:journ1:2019-06-26

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().