Cryptocurrencies and stock market fluctuations

Bashige Musholombo

Economics Letters, 2023, vol. 233, issue C

Abstract: I adopt the Granular Instrumental Variables (GIVs) approach to construct data-driven idiosyncratic crypto shocks. I then use the identified shocks as an “external instrument” in Local Projection to investigate whether cryptocurrencies market spill over into the stock market. While the correlation between the two markets has increased in recent years, I find no evidence of shocks transmission.

Keywords: Cryptocurrencies; Stock market; Local projection; Granular instrumental variables (search for similar items in EconPapers)
JEL-codes: C59 G15 G23 G32 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004536

DOI: 10.1016/j.econlet.2023.111427

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