Connectedness of cryptocurrency-related stocks and the cryptocurrency market: Evidence from the United States

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI:10.1016/j.najef.2024.102344

Erdinc Akyildirim , Shaen Corbet , Ali Coskun , Metin Ercan

引用次数: 0

Abstract

This study examines the dynamic interplay and volatility spillovers between cryptocurrency markets and major NASDAQ Blockchain Economy Index (NBEI) stocks during the COVID-19 pandemic. Utilising a time-varying parameter vector autoregressive (TVP-VAR) model, we capture the evolving relationships and identify key patterns of market connectedness. Results reveal a significant increase in market interconnectedness during the pandemic, with pronounced unidirectional volatility spillovers from cryptocurrencies to traditional stocks. Stocks related to digital payment systems predominantly mediate these spillovers, highlighting their central role in financial volatility transmission. This research sheds light on the integrated behaviour of digital and traditional financial assets and offers critical insights for investors and policymakers in enhancing portfolio diversification and strategic decision-making.

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加密货币相关股票和加密货币市场的连通性：来自美国的证据

本研究考察了COVID-19大流行期间加密货币市场与纳斯达克主要区块链经济指数（NBEI）股票之间的动态相互作用和波动溢出效应。利用时变参数向量自回归（TVP-VAR）模型，我们捕捉了不断变化的关系，并确定了市场连通性的关键模式。结果显示，疫情期间市场互联性显著增强，从加密货币到传统股票的单向波动溢出效应明显。与数字支付系统相关的股票主要介导了这些溢出效应，突出了它们在金融波动传导中的核心作用。这项研究揭示了数字和传统金融资产的综合行为，并为投资者和政策制定者提供了加强投资组合多样化和战略决策的重要见解。

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

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.