IDEAS home Printed from https://ideas.repec.org/a/kap/apfinm/v31y2024i4d10.1007_s10690-023-09436-5.html
   My bibliography  Save this article

Identifying Cryptocurrencies as Diversifying Assets and Safe Haven in the Indian Stock Market

Author

Listed:
  • Susovon Jana

    (Vidyasagar University)

  • Tarak Nath Sahu

    (Vidyasagar University)

Abstract

This study investigates the interconnectedness between cryptocurrency and the Indian stock market and explores the diversification, hedge, and safe haven potential of cryptocurrency. The study employs the wavelet approach on daily data from October 6, 2017, to October 5, 2022, to execute the empirical analysis. The findings confirm that, in a healthy economic environment, cryptocurrencies are not connected with the Indian stock market. However, during times of financial turmoil, Bitcoin, Ethereum, and Cardano are positively correlated with the stock market. Additionally, the study identifies Bitcoin, Ethereum, Dogecoin, and Cardano as competent in providing diversification, or hedge opportunities in normal economic situations. But during periods of financial stress, only Dogecoin may act as a safe haven asset. This is the first study to explore the time-varying correlations and causal dependencies between the stock and cryptocurrency markets in India using the wavelet approach. It extends the literature in finance by examining both normal and economic turmoil periods, providing insights for portfolio managers, policymakers, and investors on how to manage their portfolios during these periods.

Suggested Citation

  • Susovon Jana & Tarak Nath Sahu, 2024. "Identifying Cryptocurrencies as Diversifying Assets and Safe Haven in the Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 925-944, December.
    • Handle: RePEc:kap:apfinm:v:31:y:2024:i:4:d:10.1007_s10690-023-09436-5
    DOI: 10.1007/s10690-023-09436-5
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10690-023-09436-5
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10690-023-09436-5?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Stock Market; Cryptocurrency; Wavelet Coherence; Co-movement; Diversification; Safe Haven;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • P34 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions - - - Finance

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:31:y:2024:i:4:d:10.1007_s10690-023-09436-5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.