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Quantile correlation between fintech stocks and crypto-assets

Author

Listed:
  • Emmanuel Joel Aikins Abakah
  • Aviral Kumar Tiwari
  • Nana Kwasi Karikari
  • Elikplimi Komla Agbloyor
  • Chi-Chuan Lee

Abstract

This research explores the dependence, directional predictability and dynamic co-movement between fintech and cryptocurrency markets from July 2016 to March 2021 using a series of quantile-based coherency techniques. The causality-in-quantiles results show a considerable difference between causality-in-mean and in-variance under different market conditions. For cross-quantilogram analysis, we observe minimal directional predictability between cryptocurrencies and fintech both in the short-run and in the long-run under bearish and bullish market states. From wavelet multiple cross-correlation models, we show that cryptocurrencies maximize multiple correlation compared to fintech across all time scales, denoting that cryptocurrencies are most dependent on fintech for all wavelet scales.

Suggested Citation

  • Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Nana Kwasi Karikari & Elikplimi Komla Agbloyor & Chi-Chuan Lee, 2025. "Quantile correlation between fintech stocks and crypto-assets," Applied Economics, Taylor & Francis Journals, vol. 57(57), pages 9743-9769, December.
    • Handle: RePEc:taf:applec:v:57:y:2025:i:57:p:9743-9769
    DOI: 10.1080/00036846.2024.2423898
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