IDEAS home Printed from https://ideas.repec.org/a/taf/macfem/v17y2024i1p110-135.html
   My bibliography  Save this article

Revisiting the cryptocurrencies role in stock markets: ADCC-GARCH and Wavelet Coherence

Author

Listed:
  • Susovon Jana
  • Tarak Nath Sahu
  • Krishna Dayal Pandey

Abstract

The current study analyses five major cryptocurrencies and four global stock markets to explore the hedging, safe haven and diversification roles of cryptocurrencies by employing ADCC-GARCH and Wavelet Coherence Technique. The study has found that stock and cryptocurrency markets return have high volatility persistence in the long run and confirms the bi-directional volatility transmission. Also, the hedging capacity of digital currencies varies depending on market choice. Tether operates as the most effective diversifier for all studied stock indices and is a strong safe haven asset during market turmoil. It is also documented that majority of cryptocurrencies cannot offer diversification advantages.

Suggested Citation

  • Susovon Jana & Tarak Nath Sahu & Krishna Dayal Pandey, 2024. "Revisiting the cryptocurrencies role in stock markets: ADCC-GARCH and Wavelet Coherence," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 17(1), pages 110-135, January.
    • Handle: RePEc:taf:macfem:v:17:y:2024:i:1:p:110-135
    DOI: 10.1080/17520843.2023.2211380
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/17520843.2023.2211380
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/17520843.2023.2211380?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:macfem:v:17:y:2024:i:1:p:110-135. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/REME20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.