Investigating the Market Linkages between Cryptocurrencies and Conventional Assets

Many investors include cryptocurrencies as potential investment tools in their portfolios. Previous studies have mostly analyzed Bitcoin regarding its hedge and safe haven features. Although the cryptocurrency market has expanded far beyond Bitcoin, few studies have examined the interaction among al...

Full description

Saved in:
Bibliographic Details
Published inEmerging markets journal Vol. 12; no. 2; pp. 36 - 45
Main Authors Yavuz, Melih Sefa, Bozkurt, Gözde, Boğa, Semra
Format Journal Article
LanguageEnglish
Published Pittsburgh University Library System, University of Pittsburgh 19.12.2022
Subjects
American dollar
Banking industry
Causality
Commodities
conventional assets
cryptocurrency
Digital currencies
Emerging markets
granger causality
Hedging
International finance
Investments
market linkages
Portfolio management
Stock exchanges
Variables
Volatility
Online AccessGet full text

Cover

More Information
Summary:Many investors include cryptocurrencies as potential investment tools in their portfolios. Previous studies have mostly analyzed Bitcoin regarding its hedge and safe haven features. Although the cryptocurrency market has expanded far beyond Bitcoin, few studies have examined the interaction among all other cryptocurrencies and conventional financial assets. For this purpose, as the dependent variable, we included the cryptocurrency index to represent the cryptocurrency market, whereas international stocks, bonds, United States (US) dollars, gold, and commodities as independent variables in the analysis. The interactions among the variables were analyzed using the Granger causality tests. The analysis results revealed a two-way causality relationship between the cryptocurrency market and the bond markets, indicating that the cryptocurrency index can be used to predict bond prices and vice versa.
ISSN:2158-8708
2159-242X
2158-8708
DOI:10.5195/emaj.2022.266