Figures & data
Table 1. A summary table of the DCC model parameter estimates between the S&P500 and Bitcoin
Figure 1. Estimated conditional correlation using DCC GARCH between S&P500 (developed equity market) and Bitcoin (cryptocurrency).
![Figure 1. Estimated conditional correlation using DCC GARCH between S&P500 (developed equity market) and Bitcoin (cryptocurrency).](/cms/asset/2b241aa1-e781-4d49-9c55-e90434df1b51/oaef_a_2203432_f0001_b.gif)
Table 2. A summary table of the DCC model parameter estimates between the MSCI and Bitcoin
Figure 2. Estimated conditional correlation using DCC GARCH between MSCI (emerging equity market) and Bitcoin (cryptocurrency).
![Figure 2. Estimated conditional correlation using DCC GARCH between MSCI (emerging equity market) and Bitcoin (cryptocurrency).](/cms/asset/3daa1392-f626-4231-a694-e08ef7e213aa/oaef_a_2203432_f0002_b.gif)
Figure 4. Cross-correlationsbetween the return series of S&P500(developed equity market) and Bitcoin (cryptocurrency market).
![Figure 4. Cross-correlationsbetween the return series of S&P500(developed equity market) and Bitcoin (cryptocurrency market).](/cms/asset/d3c5f75c-4ed9-45a9-9ede-dbb33bcf6b6c/oaef_a_2203432_f0004_b.gif)
Figure 6. Wavelet coherence between S&P500 (developed equity market) and Bitcoin (cryptocurrency market). Directions of arrows and their meaning: → positively correlated, ←negatively correlated, ↗ 2nd variable (BTC) leads, ↘1st variable (S&P500) leads, ↖1st variable (S&P500) leads, and ↙2nd variable (BTC) leads.
![Figure 6. Wavelet coherence between S&P500 (developed equity market) and Bitcoin (cryptocurrency market). Directions of arrows and their meaning: → positively correlated, ←negatively correlated, ↗ 2nd variable (BTC) leads, ↘1st variable (S&P500) leads, ↖1st variable (S&P500) leads, and ↙2nd variable (BTC) leads.](/cms/asset/bcf9919b-f087-4a63-9b3f-3f051df2237d/oaef_a_2203432_f0006_oc.jpg)
Figure 7. Correlation of MSCI (emerging equity market) and Bitcoin (cryptocurrency market) at different time scales.
![Figure 7. Correlation of MSCI (emerging equity market) and Bitcoin (cryptocurrency market) at different time scales.](/cms/asset/fe887b72-86ce-4b9e-b169-b6e653dd407e/oaef_a_2203432_f0007_b.gif)