TIME-FREQUENCY NEXUS BETWEEN BITCOIN AND DEVELOPED STOCK MARKETS IN THE ASIA-PACIFIC

Ngo Thai Hung ()
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Ngo Thai Hung: Faculty of Economics and Law, University of Finance-Marketing, Ho Chi Minh City, Vietnam

The Singapore Economic Review (SER), 2024, vol. 69, issue 01, 399-424

Abstract: This study investigates the connectedness between Bitcoin prices and major stock indices in the Asia-Pacific region from February 2012 to August 2019. Based on the wavelet transform framework, we find evidence of significant unidirectional association from Bitcoin to the selected markets in the short, medium, and long-run in the Asia-Pacific region. Overall, Asia-Pacific equity markets and Bitcoin cryptocurrency are weakly correlated at higher frequencies throughout the sample period, but the dependence of Bitcoin on the equity markets steadily increases at lower frequencies. Further, we construct the wavelet-based Granger causality test at different time scales to provide additional support to our connectedness results. Our findings provide important implications for policymakers, portfolio managers, and investors who are invited to take into account the dynamic linkages between Bitcoin and equity markets.

Keywords: Bitcoin; Asia-Pacific financial markets; wavelet coherence; cross-wavelet; causality (search for similar items in EconPapers)
JEL-codes: C22 C40 F30 G15 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S0217590820500691

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