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The dynamic impact of cryptocurrency implied exchange rates on stock market returns: An empirical study of G7 countries

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  • Feng, Chao
  • Ma, Shiqun
  • Xiang, Lijin
  • Xiao, Zumian

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.

Suggested Citation

  • Feng, Chao & Ma, Shiqun & Xiang, Lijin & Xiao, Zumian, 2025. "The dynamic impact of cryptocurrency implied exchange rates on stock market returns: An empirical study of G7 countries," Research in International Business and Finance, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000595
    DOI: 10.1016/j.ribaf.2025.102803
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    Keywords

    Cryptocurrency implied exchange rates; Stock market returns; Time-varying Granger causality test; TVP-VAR-SV model;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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