Interconnected Markets: Exploring the Dynamic Relationship Between BRICS Stock Markets and Cryptocurrency

Wei Wang, Haibo Wang, Wendy Wang and Martin Enilov

Papers from arXiv.org

Abstract: This study aims to examine the intricate dynamics between BRICS traditional stock assets and the evolving landscape of cryptocurrencies. Using a time-varying parameter vector autoregression model (TVP-VAR), we have analyzed data from the BRICS stock market index, cryptocurrencies, and indicators from January 6, 2015, to June 29, 2023. The results show that three out of the five BRICS stock markets serve as primary sources of shocks that subsequently affect the financial network. The transcontinental (TCI) value derived from the dynamic conditional connectedness using the TVP-VAR model demonstrates a higher explanatory power than the static connectedness observed using the standard VAR model. The discoveries from this study offer valuable insights for corporations, investors, and regulators concerning systematic risk and investment strategies.

Date: 2024-06, Revised 2025-04
New Economics Papers: this item is included in nep-cis, nep-fmk, nep-inv and nep-pay
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