Inter-Market Mean and Volatility Spillover Dynamics Between Cryptocurrencies and an Emerging Stock Market: Evidence from Thailand and Sectoral Analysis

Yanjia Zhang (), Shih-tse Lo and Dhanoos Sutthiphisal
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Yanjia Zhang: Martin de Tours School of Management and Economics, Assumption University, Hua Mak Campus, Bangkok 10240, Thailand
Shih-tse Lo: Martin de Tours School of Management and Economics, Assumption University, Hua Mak Campus, Bangkok 10240, Thailand
Dhanoos Sutthiphisal: Martin de Tours School of Management and Economics, Assumption University, Hua Mak Campus, Bangkok 10240, Thailand

Risks, 2025, vol. 13, issue 4, 1-29

Abstract: The increasing interaction between the equity market and cryptocurrencies has raised concerns about volatility spillovers; however, empirical evidence about sectoral-specific spillover effects in emerging markets is scarce and hard to find. Existing research mainly concentrates on developed markets and aggregate equity indices, leaving a research gap in comprehending how sectoral indices variations impact market interactions in developing financial markets like Thailand. This article investigates the mean and volatility spillover effects between the Thai stock market and leading cryptocurrencies from April 2019 to April 2024. Applying bivariate VAR (1)-BEKK-GARCH (1,1) with an asymmetry model, this study examines the aggregate and sectoral-specific mean and volatility spillovers across major Thai stock market sectors. The findings reveal the significant mean spillover effect from cryptocurrencies to the Thai stock market with sectoral variation, while sectors such as industrials and financials exerted significant linkages, and the agricultural and food sector remains unaffected. Additionally, volatility spillovers were predominantly transmitted from the Thai equity market to cryptocurrency. Moreover, asymmetry effects were observed, with the asymmetry effects mainly transmitted from the Thai equity market to cryptocurrency. These findings provide critical insights for both individual and institutional investors on risk management and portfolio diversification while also helping policymakers with guidance on regulatory measures to mitigate systemic risks in emerging financial markets.

Keywords: risk modeling; applied econometrics; time series analysis; financial markets; cryptocurrencies and stock markets; portfolio management; diversification; emerging markets (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2025
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