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Research
Bitcoin and Stock Markets: Are They Connected? Evidence from Asean Emerging Economies
Abdollah Ah Mand
Sunway University
Corresponding Author
License:
This work is licensed under a CC BY 4.0 License. Read Full License
Background: Cryptocurrencies, especially Bitcoin, has become popular for investors in recent years. The volatility of bitcoin and time horizon are the center point for investment decisions. However, attention is not often drawn to the relationship between bitcoin and equity indices. This study investigates the volatility and time frequency domain of bitcoin among five Asean countries through a rich database which covers daily data from July 2010 until April 2019.
Methods: Advanced econometrics and Wavelets Cross-Coherence Spectrograms, this study investigates the existence of long run association between bitcoin and the studied market indices. M-GARCH analysis is been employed to investigate the unconditional volatility of market indices and Bitcoin.
Results: The findings present the long run association with positive (Philippines) and negative (Japan, Korea, Singapore, Hong Kong) relations. Moreover, only one market (KOREA) shows a short run association with bitcoin. The M-GARCH analysis reveals, most of the selected Asean countries have a low unconditional volatility with bitcoin. Except for Philippines in which the co-movement is average, Wavelet analysis reveals the presence of a strong and long co-movements for most of the selected Asean countries with bitcoin.
Conclusions: Most of our results are consistent and illustrate different dimensions of long and short run relationship, volatilities, correlations, and time-frequency analysis. This study utilized Asean emerging economies which are rarely available in the literature as existing studies are more skewed towards the West. We believe the outcomes of this study will be a significant for industry practitioners (i.e., retail and institutional investors) on designing better strategies to diversify the stock portfolio with different holding period horizons and dimensions.
Keywords
Cryptocurrencies, bitcoin, stock market, emerging economies
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This is a preprint. It has not completed peer review.
Research
Bitcoin and Stock Markets: Are They Connected? Evidence from Asean Emerging Economies
Abdollah Ah Mand
Sunway University
Corresponding Author
Badges
Prescreen
This manuscript passed our Prescreen assessment
Complete author information
Appropriate declaration statements
Potential risks to human health
Prescreen
History
CURRENT STATUS: Posted
Version 1
Posted 12 May, 2020
No community comments so far
Metrics
Comments: 0
PDF Downloads: ...
HTML Views: ...
License:
This work is licensed under a CC BY 4.0 License. Read Full License
Background: Cryptocurrencies, especially Bitcoin, has become popular for investors in recent years. The volatility of bitcoin and time horizon are the center point for investment decisions. However, attention is not often drawn to the relationship between bitcoin and equity indices. This study investigates the volatility and time frequency domain of bitcoin among five Asean countries through a rich database which covers daily data from July 2010 until April 2019.
Methods: Advanced econometrics and Wavelets Cross-Coherence Spectrograms, this study investigates the existence of long run association between bitcoin and the studied market indices. M-GARCH analysis is been employed to investigate the unconditional volatility of market indices and Bitcoin.
Results: The findings present the long run association with positive (Philippines) and negative (Japan, Korea, Singapore, Hong Kong) relations. Moreover, only one market (KOREA) shows a short run association with bitcoin. The M-GARCH analysis reveals, most of the selected Asean countries have a low unconditional volatility with bitcoin. Except for Philippines in which the co-movement is average, Wavelet analysis reveals the presence of a strong and long co-movements for most of the selected Asean countries with bitcoin.
Conclusions: Most of our results are consistent and illustrate different dimensions of long and short run relationship, volatilities, correlations, and time-frequency analysis. This study utilized Asean emerging economies which are rarely available in the literature as existing studies are more skewed towards the West. We believe the outcomes of this study will be a significant for industry practitioners (i.e., retail and institutional investors) on designing better strategies to diversify the stock portfolio with different holding period horizons and dimensions.
Due to technical limitations, full-text HTML conversion of this manuscript could not be completed. However, the manuscript can be downloaded and accessed as a PDF.