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Impact of crypto currencies on performance of stock returns: Evidence from BRICS countries

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  • Sakthivel P.

    (GITAM University, India)

  • Rajaswaminathan S.

    (University of Technology, Oman)

Abstract

The interlink-ages between crypto currencies and stock indices in a panel of BRICS economies are empirically examined in this study. The panel of econometric techniques namely Levin, Lin and Chu (LLC) panel unit root test, Johansen Fisher, Pedroni, and Kao Panel cointegration, Dumitrescu and Hurlin panel granger causality, the fixed effects model and IV-GMM models are applied for empirical investigation. For analysis, both daily and quarterly panel data of BRICS stock indices namely BOVESPA Index (Brazil), MOEX Index (Russia), NIFTY 50 Index (India), SSE Composite Index (China), and FTSE Index (South Africa), as well as the Bitcoin (BTC), Ethereum (ETH), Binance (BNB) and macro-economic variables are all obtained through world bank and investing.com from December 2017 to December2023. The result of fixed effects and IVGMM models suggests that the performance of stock indices in BRICS countries negatively impacted by crypto currencies, inflation and oil prices, whereas, real GDP has positively impacted the stock indices in these five economies. Panel Causality test result confirms a short run relationship exists between crypto currencies and stock indexes. The findings also indicated that a long-run equilibrium relationship do not exhibit between crypto currencies and BRICS stock indices. Based on our findings, suitable policy is recommended to regulate the crypto currency market.

Suggested Citation

  • Sakthivel P. & Rajaswaminathan S., 2024. "Impact of crypto currencies on performance of stock returns: Evidence from BRICS countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(639), S), pages 243-254, Summer.
    • Handle: RePEc:agr:journl:v:xxxi:y:2024:i:2(639):p:243-254
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    References listed on IDEAS

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    1. Xin Wang & Xi Chen & Peng Zhao, 2020. "The Relationship Between Bitcoin and Stock Market," International Journal of Operations Research and Information Systems (IJORIS), IGI Global, vol. 11(2), pages 22-35, April.
    2. Kumah, Seyram Pearl & Odei-Mensah, Jones, 2021. "Are Cryptocurrencies and African stock markets integrated?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 330-341.
    3. Mina Sami & Wael Abdallah, 2022. "Does Cryptocurrency Hurt African Firms?," Risks, MDPI, vol. 10(3), pages 1-17, March.
    4. Shaturaev, Jakhongir, 2023. "Impact of Cryptocurrency Market on the Performance of Stock Market- An Empirical Study," MPRA Paper 118244, University Library of Munich, Germany, revised 12 May 2023.
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