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Bitcoins as a determinant of stock market movements: A comparison of Indian and Chinese Stock Markets

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  • Pritpal Singh BHULLAR

    (University Business School Maharaja Ranjit Singh Punjab Technical University, Bathinda, India)

  • Dyal BHATNAGAR

    (University School of Business Studies Punjabi University Campus, Talwandi Sabo, India)

Abstract

The present paper aims to examine the relationship between price movement of cryptocurrency (Bitcoin) and stock exchange movements of two major global economies i.e. India and China. 1133 number of observations on daily basis were taken from 1st January 2015 to 29th November 2019 and analysed using statistical software E-views. Statistical techniques like Granger Causality, Johnsen Co-integration and VECM have been employed to achieve the objective of the paper. The empirical results of the paper depict that long run relationship exists between Bitcoin and stock exchanges of India and China. Sensex has the unidirectional causality with Bitcoin. The significant t-statistics imply an influential role of Sensex in Bitcoin price movement. The results further indicate that there is no evidence of any causal relationship between Bitcoin and Chinese Stock exchange, which suggests a better risk-return mechanism for the global investors and policy makers. The findings of the paper can be imparted as guidelines for the global investors for diversifying their portfolios.

Suggested Citation

  • Pritpal Singh BHULLAR & Dyal BHATNAGAR, 2020. "Bitcoins as a determinant of stock market movements: A comparison of Indian and Chinese Stock Markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(624), A), pages 193-202, Autumn.
    • Handle: RePEc:agr:journl:v:3(624):y:2020:i:3(624):p:193-202
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    1. Viviane Senna & Adriano Mendonça Souza, 2023. "Impacts of short and long-term between cryptocurrencies and stock exchange indexes," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(1), pages 97-119, February.

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