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Co-Movements between an Asian Technology Stock Index and Cryptocurrencies during the COVID-19 Pandemic: A Bi-Wavelet Approach

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  • Arief Rijanto

    (School of Business and Economics, Universitas Prasetiya Mulya, DKI Jakarta 12430, Indonesia)

Abstract

This study investigates the co-movement patterns of Asia technology stock indices and cryptocurrencies during the COVID-19 pandemic. The analysis examines Bitcoin and Ethereum, China’s Tech index (XA90), and India’s Tech index (NSEIT) from 2017 to 2021, representing both before and during COVID-19. To visually explore the co-movement between these variables, a bi-wavelet method is employed. This approach allows for an examination of how these variables move together over time coherently. There were noticeable changes in the co-movement patterns between technology stock indices and cryptocurrencies during COVID-19 compared to before the pandemic. The duration of co-movements decreased significantly after the emergence of COVID-19. The previous financial crisis had a longer time horizon for joint movement, lasting 256 days. However, during the pre-COVID-19 period, XA90 exhibited a strong co-movement with Bitcoin over this extended period but weakened afterward when COVID-19 emerged. Conversely, NSEIT showed a significant co-movement with both Ethereum and Bitcoin in the initial stages of the pandemic. Before that period, NSEIT had muted price movements along with BTC. These changes in price co-movements suggest shifts in herding behavior due to the pandemic. Notably, cryptocurrency markets have demonstrated faster recovery compared to technology stock markets.

Suggested Citation

  • Arief Rijanto, 2023. "Co-Movements between an Asian Technology Stock Index and Cryptocurrencies during the COVID-19 Pandemic: A Bi-Wavelet Approach," Economies, MDPI, vol. 11(9), pages 1-20, September.
    • Handle: RePEc:gam:jecomi:v:11:y:2023:i:9:p:232-:d:1237982
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    2. Grobys, Klaus & Junttila, Juha, 2021. "Speculation and lottery-like demand in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
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