Connexion Between Cryptocurrencies Liquid and Futures Markets: Discernment from Static, Dynamic and Wavelet Approach

IF 3 Q2 BUSINESS

Vision-The Journal of Business Perspective Pub Date : 2023-09-09 DOI:10.1177/09722629231188596

Vandana Dangi

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引用次数: 0

Abstract

The knowledge of the interconnectedness between liquid and futures markets of cryptocurrencies amidst dynamic contemporary environment can be enriched through the full characterization of the direction, persistence and intensity of information flows between these markets. So, the present study attempts to investigate the static and dynamic connexions between liquid and futures markets of Bitcoin, Ethereum, Litecoin, Ripple XRP and Bitcoin Cash from June 2018 to June 2022. The connexion between their liquid and futures markets is first investigated using unconditional correlation, Johansen’s cointegration, vector error correction and Wald’s block exogeneity. Their estimates discern connexions encompassing significant long-run relationships between their liquid and futures markets; momentous unidirectional long-run causality from their futures market to liquid market; and momentous bidirectional short-run causality from their liquid market to futures market and from their futures market to liquid market. The present treatise encompasses methodological advancement in the investigation of interconnectedness between these markets by employing a dynamic conditional correlation model and a wavelet transform framework. Their discerned estimates indicate that the markets of Bitcoin, Litecoin, Ethereum and Bitcoin Cash have only momentous long-run perseverance, lingering and spillover effects of shocks’ sway on conditional correlations. However, there is momentous short- and long-run perseverance, lingering and spillover effects in the case of Ripple XRP. The wavelet coherence analysis also confirms these results by indicating a bidirectional short-run causal relation and a long-run positive comovement between liquid returns and futures returns of these cryptocurrencies. These discernments may help investors, portfolio managers and policymakers to enhance hedging effectiveness through optimal portfolio allocation and monitor financial contagion to attain and sustain financial stability in economies.

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加密货币流动性和期货市场之间的联系:从静态、动态和小波方法的辨别

通过充分描述这些市场之间信息流的方向、持久性和强度，可以丰富动态当代环境中加密货币的流动性和期货市场之间相互联系的知识。因此，本研究试图调查2018年6月至2022年6月期间比特币、以太坊、莱特币、瑞波币和比特币现金的流动性和期货市场之间的静态和动态联系。他们的流动性和期货市场之间的联系首先研究了无条件相关，约翰森协整，矢量误差校正和沃尔德块外生性。他们的估计揭示了流动性市场和期货市场之间的重要长期关系;从其期货市场到流动性市场的重大单向长期因果关系;从流动性市场到期货市场再从期货市场到流动性市场的双向短期因果关系。本论文通过采用动态条件相关模型和小波变换框架，涵盖了研究这些市场之间相互联系的方法进步。他们敏锐的估计表明，比特币、莱特币、以太坊和比特币现金市场对条件相关性的影响只有重大的长期持久性、挥之不去的溢出效应。然而，在瑞波瑞波币的案例中，存在着重大的短期和长期坚持、挥之不去和溢出效应。小波相干性分析也证实了这些结果，表明这些加密货币的流动回报和期货回报之间存在双向短期因果关系和长期正相关关系。这些识别可能有助于投资者、投资组合经理和政策制定者通过优化投资组合配置来提高对冲有效性，并监测金融传染，以实现和维持经济体的金融稳定。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Vision-The Journal of Business Perspective Multiple-

CiteScore

4.60

自引率

0.00%

发文量

121

期刊介绍： Vision-The Journal of Business Perspective is a quarterly peer-reviewed journal of the Management Development Institute, Gurgaon, India published by SAGE Publications. This journal contains papers in all functional areas of management, including economic and business environment. The journal is premised on creating influence on the academic as well as corporate thinkers. Vision-The Journal of Business Perspective is published in March, June, September and December every year. Its targeted readers are researchers, academics involved in research, and corporates with excellent professional backgrounds from India and other parts of the globe. Its contents have been often used as supportive course materials by the academics and corporate professionals. The journal has been providing opportunity for discussion and exchange of ideas across the widest spectrum of scholarly opinions to promote theoretical, empirical and comparative research on problems confronting the business world. Most of the contributors to this journal range from the outstanding and the well published to the upcoming young academics and corporate functionaries. The journal publishes theoretical as well as applied research works.