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Stock market and cryptocurrency market volatility

Author

Listed:
  • Manevich, Vyacheslav

    (NRU HSE, Moscow, Russian Federation)

  • Peresetsky, Anatoly

    (NRU HSE, Moscow, Russian Federation)

  • Pogorelova, Polina

    (NRU HSE, Moscow, Russian Federation)

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

Suggested Citation

  • Manevich, Vyacheslav & Peresetsky, Anatoly & Pogorelova, Polina, 2022. "Stock market and cryptocurrency market volatility," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 65-76.
    • Handle: RePEc:ris:apltrx:0439
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    bitcoin; cryptocurrency; realized volatility; state–space model; S&P 500;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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