Relation Between Digital Currencies and Other Financial Markets: A Non-Linear and Multivariate Analysis

IF 2.6 Q2 ECONOMICS

Asia-Pacific Financial Markets Pub Date : 2024-05-16 DOI:10.1007/s10690-024-09466-7

Abhishek Sah, Biswajit Patra

引用次数: 0

Abstract

This study investigates the relationship between digital currency and broad financial markets covering equities, currencies, bonds, crude oil, and gold. It uses the Non-linear Autoregressive Distributed Lag model and wavelet coherence. The results demonstrate some relationships between digital currencies and other financial assets, with some evidence of asymmetry and a lead-lag relationship that is mostly significant at the medium timescales. The results provide useful insights for various market participants.

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数字货币与其他金融市场的关系：非线性和多元分析

本研究调查了数字货币与包括股票、货币、债券、原油和黄金在内的广泛金融市场之间的关系。它采用非线性自回归分布滞后模型和小波相干性。研究结果表明，数字货币与其他金融资产之间存在一定的关系，并存在一些不对称和超前滞后关系的证据，这种关系在中等时间尺度上最为显著。研究结果为不同的市场参与者提供了有用的见解。

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

Asia-Pacific Financial Markets ECONOMICS-

CiteScore

3.00

自引率

0.00%

发文量

期刊介绍： The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets