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FINANCIAL ECONOMICS

An investigation of financial contagion between cryptocurrency and equity markets: Evidence from developed and emerging markets

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Article: 2203432 | Received 26 Sep 2022, Accepted 12 Apr 2023, Published online: 29 Apr 2023

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).

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).

Figure 3. Correlation of S&P500 and Bitcoin at different time scales.

Figure 3. Correlation of S&P500 and Bitcoin at different time scales.

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).

Figure 5. Direction of arrows and their meaning.

Figure 5. Direction of arrows and their meaning.

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.

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.

Figure 8. Cross-correlation between the return series of MSCI (emerging equity market) and Bitcoin (cryptocurrency market).

Figure 8. Cross-correlation between the return series of MSCI (emerging equity market) and Bitcoin (cryptocurrency market).

Figure 9. Wavelet coherence between MSCI (emerging market) and Bitcoin (cryptocurrency market). Directions of arrows and their meaning: → positively correlated, ← negatively correlated, ↗ 2nd variable(BTC) leads, ↘1st variable(MSCI) leads, ↖ 1st variable (MSCI) leads, and ↙2nd variable (BTC) leads.

Figure 9. Wavelet coherence between MSCI (emerging market) and Bitcoin (cryptocurrency market). Directions of arrows and their meaning: → positively correlated, ← negatively correlated, ↗ 2nd variable(BTC) leads, ↘1st variable(MSCI) leads, ↖ 1st variable (MSCI) leads, and ↙2nd variable (BTC) leads.