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Cryptocurrencies and stock market fluctuations

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  • Musholombo, Bashige

Abstract

I adopt the Granular Instrumental Variables (GIVs) approach to construct data-driven idiosyncratic crypto shocks. I then use the identified shocks as an “external instrument” in Local Projection to investigate whether cryptocurrencies market spill over into the stock market. While the correlation between the two markets has increased in recent years, I find no evidence of shocks transmission.

Suggested Citation

  • Musholombo, Bashige, 2023. "Cryptocurrencies and stock market fluctuations," Economics Letters, Elsevier, vol. 233(C).
    • Handle: RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004536
    DOI: 10.1016/j.econlet.2023.111427
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    References listed on IDEAS

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    More about this item

    Keywords

    Cryptocurrencies; Stock market; Local projection; Granular instrumental variables;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other

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