Title: Contemporaneous relationship between crypto market and stock market

Authors: Anshul Agrawal

Addresses: Humanities and Social Science Department, Jaypee Institute of Information Technology, Noida, 201304, Uttar Pradesh, India

Abstract: This study examines the interconnection between the price of Bitcoin and the stock market prices of crude oil, DXY, gold, Nasdaq index, S&P 500 index, and TLT-bond by using ten-years worth of daily closing price data collected from the world wind database. During the study, the Granger causality block exogeneity test validates that there is a unidirectional relationship between Nasdaq to Bitcoin and Bitcoin to crude oil. The relationship between Bitcoin and S&P 500 index is bidirectional. Additionally, the quantile regression technique reveals that the S&P 500 index behaves like contrarian traders, whereas Nasdaq and crude oil stock are momentum traders. Nasdaq and crude oil are the most active traders at every quantile. DXY and TLT-bond are more active at upper and lower quantiles, S&P 500 is active only at upper quantiles, and gold is an active trader at lower quantiles. The findings of this study are immensely helpful for portfolio managers, investors, and traders to make investments and portfolio diversification decisions with limited risks.

Keywords: Bitcoin; stock market; contrarian trader; momentum trader; quantile regression.

DOI: 10.1504/IJMP.2024.140868

International Journal of Management Practice, 2024 Vol.17 No.5, pp.554 - 576

Received: 03 Apr 2023
Accepted: 25 Aug 2023
Published online: 03 Sep 2024 *

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