This study explores the connectedness between cryptocurrencies (Bitcoin, Ethereum, Ripple, Bitcoin cash and Ethereum Operating System) and major stock markets (NYSE composite index, NASDAQ composite index, Shanghai Stock Exchange, Nikkei 225 and Euronext NV). Using the asymmetric dynamic conditional correlation (ADCC) and wavelet coherence approaches, we document a significant time-varying conditional correlation between the majority of the cryptocurrencies and stock market indices and that the negative shocks play a more prominent role than the positive shocks of the same magnitude. Overall, our findings explore potential avenues for diversification for investors across cryptocurrencies and major stock markets.

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股票市场和加密货币有联系吗？

本研究探讨了加密货币（比特币、以太坊、瑞波币、比特币现金和以太坊操作系统）与主要股票市场（纽约证券交易所综合指数、纳斯达克综合指数、上海证券交易所、日经 225 和泛欧交易所）之间的联系。使用非对称动态条件相关（ADCC）和小波相干方法，我们记录了大多数加密货币和股票市场指数之间显着的时变条件相关性，并且负冲击比正冲击发挥更突出的作用。震级。总体而言，我们的研究结果探索了加密货币和主要股票市场投资者多元化的潜在途径。