The Spill-Over Effects of Cryptocurrencies on Equity and Bonds Market

Tshembhani M. Hlongwane ()
Additional contact information
Tshembhani M. Hlongwane: University of Limpopo

Journal of Economics and Financial Analysis, 2023, vol. 7, issue 1, 43-59

Abstract: This study examines the extent to which crypto assets have moved to the mainstream by estimating the potential for spillovers crypto on bond and equity markets using daily data on price volatility and returns. The analysis reveals that the coefficients of the constant variance term, the ARCH and the GARCH parameters are positive and statistically significant at the 1% level across all models. In respect of the mean equation, the results suggest that the spill-over effects of bitcoin on equities and long-term bonds are ambiguous. Spillovers from price volatility of the oldest and most popular crypto asset, Bitcoin, to the S&P 500 and MSCI emerging markets indices have increased by about 12-16 percentage points since the onset of the COVID-19 pandemic, while those from its returns have increased by about 8-10 percentage points. This clearly indicates that the persistence of volatility shocks, as represented by the sum of the ARCH and GARCH parameter is large. Moreover, this suggests that the effect of today’s shock remains in the forecasts of variance for many periods in the future.

Keywords: GARCH Model; Cryptocurrencies; Financial Markets. (search for similar items in EconPapers)
JEL-codes: B41 C01 C58 D53 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ojs.tripaledu.com/jefa/article/download/81/92 (application/pdf)

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:trp:01jefa:jefa0063

DOI: 10.1991/jefa.v7i1.a58

Access Statistics for this article

Journal of Economics and Financial Analysis is currently edited by David Simon Hall

More articles in Journal of Economics and Financial Analysis from Tripal Publishing House
Bibliographic data for series maintained by David Simon Hall ().