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Asia-Pacific Financial Markets

16.05.2024 | Original Research

Relation Between Digital Currencies and Other Financial Markets: A Non-Linear and Multivariate Analysis

verfasst von: Abhishek Sah, Biswajit Patra

Erschienen in: Asia-Pacific Financial Markets

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Abstract

This study investigates the relationship between digital currency and broad financial markets covering equities, currencies, bonds, crude oil, and gold. It uses the Non-linear Autoregressive Distributed Lag model and wavelet coherence. The results demonstrate some relationships between digital currencies and other financial assets, with some evidence of asymmetry and a lead-lag relationship that is mostly significant at the medium timescales. The results provide useful insights for various market participants.

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Titel: Relation Between Digital Currencies and Other Financial Markets: A Non-Linear and Multivariate Analysis
verfasst von: Abhishek Sah
Biswajit Patra
Publikationsdatum: 16.05.2024
Verlag: Springer Japan
Erschienen in: Asia-Pacific Financial Markets
Print ISSN: 1387-2834
Elektronische ISSN: 1573-6946
DOI: https://doi.org/10.1007/s10690-024-09466-7