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Research on the relationship between Cryptocurrency and OTC market based on VAR model

In: Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022)

Author

Listed:
  • Ruyue Han

    (North China University of Technology)

  • Xuecheng Wang

    (North China University of Technology)

Abstract

Based on the VAR model, this paper uses weekly data of cryptocurrency indices and weekly closing prices of OTC markets from March 2018 to July 2022 to conduct empirical research. The results show that the weekly closing price increase of the OTC market is the Granger cause of the weekly increase of the cryptocurrency index, but the weekly increase of the cryptocurrency index is not the Granger cause of the weekly closing price increase of the OTC market, that is, the long-term fluctuation of the OTC market price will affect the fluctuation of the cryptocurrency market price, but the fluctuation of the cryptocurrency market price will not affect the fluctuation of the OTC market price. At the same time, according to the analysis of the pulse response chart, when the OTC market is impacted by one unit, the cryptocurrency index fluctuates to the highest point in the second period, and the fluctuation in the fifth period approaches zero. On the basis of these empirical research results, this paper will put forward targeted suggestions.

Suggested Citation

  • Ruyue Han & Xuecheng Wang, 2023. "Research on the relationship between Cryptocurrency and OTC market based on VAR model," Advances in Economics, Business and Management Research, in: Hrushikesh Mallick & Gaikar Vilas B. & Ong Tze San (ed.), Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022), pages 187-193, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-098-5_23
    DOI: 10.2991/978-94-6463-098-5_23
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