{"title":"The dynamic impact of cryptocurrency implied exchange rates on stock market returns: An empirical study of G7 countries","authors":"Chao Feng, Shiqun Ma, Lijin Xiang, Zumian Xiao","doi":"10.1016/j.ribaf.2025.102803","DOIUrl":null,"url":null,"abstract":"<div><div>Based on the Bitcoin price data from July 21, 2014 to December 30, 2018, this paper constructs a cryptocurrency implied exchange rate indicator, and uses the time-varying Granger causality test and the TVP-VAR-SV model to investigate the impact of cryptocurrency implied exchange rate in G7 countries on their stock market returns and the time-varying characteristics of the impact. Our study has unveiled that the cryptocurrency implied exchange rates of G7 countries are the Granger cause of corresponding stock market returns. Furthermore, this causality exhibits time-varying characteristics. There is evident heterogeneity in the causal relationship between cryptocurrency implied exchange rates and stock market performance across various countries, as well as significant heterogeneity in the impact of cryptocurrency implied exchange rates on stock market returns. As the lag period increases, the impact of cryptocurrency implied exchange rate on its stock market returns gradually weakens. The impact of cryptocurrency implied exchange rates on stock market returns shows strong similarities when some major events such as the Federal Reserve announced an interest rate hike, Bitcoin prices achieved new breakthroughs, and the US-China trade war occurred.</div></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":"76 ","pages":"Article 102803"},"PeriodicalIF":6.9000,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Research in International Business and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0275531925000595","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2025/2/14 0:00:00","PubModel":"Epub","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
Based on the Bitcoin price data from July 21, 2014 to December 30, 2018, this paper constructs a cryptocurrency implied exchange rate indicator, and uses the time-varying Granger causality test and the TVP-VAR-SV model to investigate the impact of cryptocurrency implied exchange rate in G7 countries on their stock market returns and the time-varying characteristics of the impact. Our study has unveiled that the cryptocurrency implied exchange rates of G7 countries are the Granger cause of corresponding stock market returns. Furthermore, this causality exhibits time-varying characteristics. There is evident heterogeneity in the causal relationship between cryptocurrency implied exchange rates and stock market performance across various countries, as well as significant heterogeneity in the impact of cryptocurrency implied exchange rates on stock market returns. As the lag period increases, the impact of cryptocurrency implied exchange rate on its stock market returns gradually weakens. The impact of cryptocurrency implied exchange rates on stock market returns shows strong similarities when some major events such as the Federal Reserve announced an interest rate hike, Bitcoin prices achieved new breakthroughs, and the US-China trade war occurred.
期刊介绍：
Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance
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