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Connectedness of cryptocurrency-related stocks and the cryptocurrency market: Evidence from the United States

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  • Akyildirim, Erdinc
  • Corbet, Shaen
  • Coskun, Ali
  • Ercan, Metin

Abstract

This study examines the dynamic interplay and volatility spillovers between cryptocurrency markets and major NASDAQ Blockchain Economy Index (NBEI) stocks during the COVID-19 pandemic. Utilising a time-varying parameter vector autoregressive (TVP-VAR) model, we capture the evolving relationships and identify key patterns of market connectedness. Results reveal a significant increase in market interconnectedness during the pandemic, with pronounced unidirectional volatility spillovers from cryptocurrencies to traditional stocks. Stocks related to digital payment systems predominantly mediate these spillovers, highlighting their central role in financial volatility transmission. This research sheds light on the integrated behaviour of digital and traditional financial assets and offers critical insights for investors and policymakers in enhancing portfolio diversification and strategic decision-making.

Suggested Citation

  • Akyildirim, Erdinc & Corbet, Shaen & Coskun, Ali & Ercan, Metin, 2025. "Connectedness of cryptocurrency-related stocks and the cryptocurrency market: Evidence from the United States," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002699
    DOI: 10.1016/j.najef.2024.102344
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    More about this item

    Keywords

    Cryptocurrency; Blockchain; TVP-VAR; Volatility spillovers; Connectedness;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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