Purpose

This study aims to analyze the dynamic relationship between the Bitcoin market and the conventional asset classes in India

Design/methodology/approach

This paper aims to cast light on the dynamic linkages between Bitcoin prices and other conventional asset classes in India by using the wavelet transform frameworks, which can allow us to analyze components of time series without losing the information. To do that, the techniques used with the data set include wavelet-based covariance, correlation, coherence spectrum, continuous power spectrum and Granger causality test.

Findings

The findings of the study suggest that interrelationships between Bitcoin and the key financial asset returns are statistically significant at low, medium and high frequencies. This study also finds the existence of the unidirectional connectedness between Bitcoin the other assets in India.

Practical implications

The outcome of the analysis calls for substantial policy implications for investors, portfolio management in India. This research on the existence of the interconnectedness between Bitcoin and other conventional asset classes in a specific country context, India can, therefore, make a significant contribution to the contemporary debate about the speculative nature of the cryptocurrencies. It casts light on whether Bitcoin provides any diversification and risk management benefits for Indian, as well as global investors.

Originality/value

To the best of the author’s knowledge, this is the first paper investigating the interrelatedness between Bitcoin and key conventional asset classes in India. This research makes methodological advancements by using the wavelet coherence transform. The findings provide empirical bases from which to deal with issues regarding hedging purposes and optimal portfolio allocation for an increasing number of investors in the Indian context. Therefore, the main contribution of this study to related literature in this field is significant.

中文翻译：

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比特币与印度其他资产类别之间的联动

目的

本研究旨在分析比特币市场与印度传统资产类别之间的动态关系

设计/方法/方法

本文旨在通过使用小波变换框架来阐明比特币价格与印度其他传统资产类别之间的动态联系，这可以让我们在不丢失信息的情况下分析时间序列的组成部分。为此，数据集使用的技术包括基于小波的协方差、相关性、相干谱、连续功率谱和格兰杰因果关系检验。

发现

研究结果表明，比特币与关键金融资产回报之间的相互关系在低频、中频和高频上具有统计学意义。该研究还发现比特币与印度其他资产之间存在单向连通性。

实际影响

分析结果要求对印度的投资者和投资组合管理产生重大的政策影响。因此，这项关于在特定国家背景下比特币与其他传统资产类别之间存在关联性的研究可以为当代关于加密货币投机性质的辩论做出重大贡献。它阐明了比特币是否为印度以及全球投资者提供了任何多元化和风险管理的好处。

原创性/价值

据作者所知，这是第一篇研究比特币与印度主要传统资产类别之间相互关系的论文。这项研究通过使用小波相干变换在方法上取得了进步。研究结果提供了经验基础，可以为印度背景下越来越多的投资者处理有关对冲目的和最佳投资组合分配的问题。因此，本研究对该领域相关文献的主要贡献是显着的。