Mutual coupling between stock market and cryptocurrencies.

ABSTRACT: We examine the relationship between the top five cryptos and the U.S. S&P500 index from January 2018 to December 2021. We use the novel General-to-specific Vector Autoregression (GETS VAR) and traditional Vector Autoregression (VAR) model to analyze the short- and long-run, cumulative impulse-response, and Granger causality test between S&P500 returns and the returns of Bitcoin, Ethereum, Ripple, Binance and Tether. Additionally, we used the Diebold and Yilmaz (DY) spillover index of variance decomposition to validate our findings. Evidence from the analysis suggests positive short- and long-run effects of historical S&P500 returns on Bitcoin, Ethereum, Ripple, and Tether returns--and negative short- and long-run effects of the historical returns of Bitcoin, Ethereum, Ripple, Binance, and

SUBMITTER: Ahmed MY 

PROVIDER: S-EPMC10200845 | biostudies-literature | 2023 May

REPOSITORIES: biostudies-literature