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

Figures & data

Table 1. A summary table of the DCC model parameter estimates between the S&P500 and Bitcoin

	Parameter	Estimate	SE	P-value
S&P500	α0	0.000005	0.000006	0.452963
	α1	0.142171	0.045657	0.001846
	β1	0.802561	0.042068	0.000000
BTC	α0	0.000146	0.000053	0.005881
	α1	0.142171	0.045657	0.001846
	β1	0.802561	0.042068	0.000000
	θ1	0.012315	0.006041	0.041501
	θ2	0.980258	0.013447	0.000000
${\rho }_{ij}$[corr(S&P500, BTC)]				0.1027023
Maximized Log-likelihood				9537.823

Parameter estimates with P-value less than 0.05 are considered statistically significant.

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

	Parameter	Estimate	SE	P-value
MSCI	α0	0.000016	0.000008	0.045941
	α1	0.141595	0.032254	0.000011
	β1	0.762909	0.060615	0.000000
BTC	α0	0.000152	0.000053	0.003868
	α1	0.151759	0.045696	0.000897
	β1	0.790803	0.041027	0.000000
	θ1	0.021200	0.008730	0.015166
	θ2	0.941413	0.032550	0.000000
${\rho }_{ij}$[corr(MSCI, BTC)]				0.1487217
Maximized Log-likelihood				8649.019

Parameter estimates with P-value less than 0.05 are considered statistically significant.

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 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 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, ↘1^st variable (S&P500) leads, ↖1^st variable (S&P500) leads, and ↙2^nd variable (BTC) leads.

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 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, ↘1^st variable(MSCI) leads, ↖ 1st variable (MSCI) leads, and ↙2^nd variable (BTC) leads.