{"title":"Stock market and cryptocurrency market volatility","authors":"V. Manevich, A. Peresetsky, P. Pogorelova","doi":"10.22394/1993-7601-2022-65-65-76","DOIUrl":null,"url":null,"abstract":"In the last ten years, cryptocurrencies have developed rapidly, of which bitcoin has the largest capitalization. With the development of the cryptocurrency market, more and more investors include bitcoin in their asset portfolio. In this regard, the question of the relationship between the volatility of the cryptocurrency market and the stock market is of particular interest. This article analyzes the common stochastic component of the realized volatility of bitcoin and e‐mini S&P futures. The assessment of the global stochastic component and its share in the volatility of the S&P 500 futures and bitcoin in the rolling window made it possible to analyze the dynamics of the relationship between the realized volatility of these two assets, as well as put forward a hypothesis about the causes and preconditions for volatility flows between the cryptocurrency market and the stock market.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Econometrics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.22394/1993-7601-2022-65-65-76","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 0
Abstract
In the last ten years, cryptocurrencies have developed rapidly, of which bitcoin has the largest capitalization. With the development of the cryptocurrency market, more and more investors include bitcoin in their asset portfolio. In this regard, the question of the relationship between the volatility of the cryptocurrency market and the stock market is of particular interest. This article analyzes the common stochastic component of the realized volatility of bitcoin and e‐mini S&P futures. The assessment of the global stochastic component and its share in the volatility of the S&P 500 futures and bitcoin in the rolling window made it possible to analyze the dynamics of the relationship between the realized volatility of these two assets, as well as put forward a hypothesis about the causes and preconditions for volatility flows between the cryptocurrency market and the stock market.
Applied EconometricsEconomics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
0.70
自引率
0.00%
发文量
0
期刊介绍：
The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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