Research on the Correlation Between Cryptocurrencies and Stock Index Returns

Chicheng Huang ()
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Chicheng Huang: Beijing Normal University-Hong Kong Baptist University United International College, Faculty of Science and Technology

A chapter in Proceedings of the International Workshop on Navigating the Digital Business Frontier for Sustainable Financial Innovation (ICDEBA 2024), 2025, pp 817-826 from Springer

Abstract: Abstract In recent years, cryptocurrency has developed rapidly, and as a special financial product, its connection with traditional financial derivatives has naturally become one of the hot topics in current research. This study used Pearson correlation coefficient, rolling correlation, multiple regression model, and Copula model, and collected relevant data of Bitcoin, Binance, Ethereum, S&P 500 index, and Dow Jones index over a long period of time for corresponding research. Research has found that there is a certain correlation between the returns of different cryptocurrencies and different stock indices. This means that investors will have more arbitrage and hedging methods to achieve significant returns. This study will explore the correlation between cryptocurrencies and stock indices, which will help reveal the connections between different markets, expand risk management and asset pricing theories. Changes in correlation can provide theoretical basis for investors to diversify hedging or arbitrage strategies, and help the academic community better construct cross market asset pricing and risk management models.

Keywords: Cryptocurrency; Stock index; Asset pricing; Risk management (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-652-9_88

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DOI: 10.2991/978-94-6463-652-9_88

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