Have a personal or library account? Click to login
Dynamic Interrelationships among Bitcoin, Bonds, and Sectoral Indices in India: Evidence from Pre- and Post-COVID-19 Cover

Dynamic Interrelationships among Bitcoin, Bonds, and Sectoral Indices in India: Evidence from Pre- and Post-COVID-19

Financial Internet Quarterly
Volume 20 (2024): Issue 3 (September 2024)
By: Shivam Sehgal and  Jaspal Singh  
Open Access
|Sep 2024

References

  1. Al Rababa’a, A.R., Alomari, M. & McMillan, D. (2021). Multiscale stock-bond correlation: Implications for risk management. Research in International Business and Finance, 58, 1-35.
    Search in Google ScholarBack to article
  2. Alomari, M., Al rababa’a, A.R., El-Nader, G. & Alkhataybeh, A. (2021). Who’s behind the wheel? The role of social and media news in driving the stock–bond correlation. Review of Quantitative Finance and Accounting, 57(3), 959-1007.
    Search in Google ScholarBack to article
  3. Angerer, M., Hoffmann, C.H., Neitzert, F. & Kraus, S. (2021). Objective and subjective risks of investing into cryptocurrencies. Finance Research Letters, 40, 1-23.
    Search in Google ScholarBack to article
  4. Bandhu Majumder, S. (2022). Searching for hedging and safe haven assets for Indian equity market – a comparison between gold, cryptocurrency and commodities. Indian Growth and Development Review, 15(1), 60-84.
    Search in Google ScholarBack to article
  5. Baur, D.G., Hong, K. & Lee, A.D. (2018). Bitcoin: Medium of exchange or speculative assets? Journal of International Financial Markets, Institutions and Money, 54, 177–189.
    Search in Google ScholarBack to article
  6. Białkowski, J. (2020). Cryptocurrencies in institutional investors’ portfolios: Evidence from industry stop-loss rules. Economics Letters, 191, 1-15.
    Search in Google ScholarBack to article
  7. Bouoiyour, J., Selmi, R. & Wohar, M.E. (2019). Bitcoin: Competitor or complement to gold? Economics Bulletin, 39(1), 186–191.
    Search in Google ScholarBack to article
  8. Bouri, E., Shahzad, S.J.H., Roubaud, D., Kristoufek, L. & Lucey, B. (2020). Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. The Quarterly Review of Economics and Finance, 77, 156–164.
    Search in Google ScholarBack to article
  9. Chowdhury, A. (2016). Is Bitcoin the “Paris Hilton” of the currency world? Or are the early investors onto something that will make them rich? The Journal of Investing, 25(1), 64-72.
    Search in Google ScholarBack to article
  10. Conlon, T. & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. Finance Research Letters, 35, 1-15.
    Search in Google ScholarBack to article
  11. Corbet, S., Katsiampa, P. & Lau, C.K.M. (2020). Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets. International Review of Financial Analysis, 71, 1-23. CoinMarketCap. (n.d.). Cryptocurrency Prices, Charts And Market Capitalizations. https://coinmarketcap.com/ ( Accessed: 30.06.2023).
    Search in Google ScholarBack to article
  12. Dajcman, S. (2015). An empirical investigation of the nexus between sovereign bond yields and stock market returns - a multiscale approach. Engineering Economics, 26(2), 108–117.
    Search in Google ScholarBack to article
  13. Deniz, A. & Teker, D. (2020). Determinants of Cryptocurrency Market: An Analysis for Bitcoin, Ethereum and Ripple. International Journal of Business and Social Science, 11(11), 36–45.
    Search in Google ScholarBack to article
  14. Mariana, C.D., Ekaputra, I.A. & Husodo, Z.A. (2021). Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic? Finance Research Letters, 38, 1-7.
    Search in Google ScholarBack to article
  15. Fang, F., Chung, W., Ventre, C., Basios, M., Kanthan, L., Li, L. & Wu, F. (2024). Ascertaining price formation in cryptocurrency markets with machine learning. The European Journal of Finance, 30(1), 78-100.
    Search in Google ScholarBack to article
  16. Gençay, R., Selçuk, F. & Whitcher, B.J. (2002). An introduction to wavelets and other filtering methods in finance and economics. Elsevier, Amsterdam.
    Search in Google ScholarBack to article
  17. Ghorbel, A., Snene, Y. & Frikha, W. (2023). Does herding behavior explain the contagion of the COVID-19 crisis? Review of Behavioral Finance, 15(6), 889–915.
    Search in Google ScholarBack to article
  18. Gil-Alana, L.A., Abakah, E.J.A. & Rojo, M.F.R. (2020). Cryptocurrencies and stock market indices. Are they related? Research in International Business and Finance, 51, 1-31.
    Search in Google ScholarBack to article
  19. Goodell, J.W. & Goutte, S. (2021). Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis. Finance Research Letters, 38, 1-6.
    Search in Google ScholarBack to article
  20. Hong, K. (2017). Bitcoin as an alternative investment vehicle. Information Technology and Management, 18(4), 265–275.
    Search in Google ScholarBack to article
  21. Huang, Y., Duan, K. & Mishra, T. (2021). Is Bitcoin really more than a diversifier? A pre- and post-COVID-19 analysis. Finance Research Letters, 43, 1-24.
    Search in Google ScholarBack to article
  22. Hung, N.T. (2024). Time-Frequency nexus between bitcoin and developed stock markets in the Asia-Pacific. The Singapore Economic Review, 69(1), 399-424.
    Search in Google ScholarBack to article
  23. Hung, N.T. (2021). Co-movements between Bitcoin and other asset classes in India. Journal of Indian Business Research, 13(2), 270–288.
    Search in Google ScholarBack to article
  24. Jana, S. & Sahu, T.N. (2023). Identifying Cryptocurrencies as Diversifying Assets and Safe Haven in the Indian Stock Market. Asia-Pacific Financial Markets, Springer, Berlin.
    Search in Google ScholarBack to article
  25. Ji, Q., Bouri, E., Gupta, R. & Roubaud, D. (2018). Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach. The Quarterly Review of Economics and Finance, 70, 203–213.
    Search in Google ScholarBack to article
  26. Kyriazis, N.A., Papadamou, S. & Tzeremes, P. (2023). Are benchmark stock indices, precious metals or cryptocurrencies efficient hedges against crises? Economic Modelling, 128, 1-16.
    Search in Google ScholarBack to article
  27. Li, L. & Miu, P. (2023). Are cryptocurrencies a safe haven for stock investors? A regime-switching approach. Journal of Empirical Finance, 70, 367–385.
    Search in Google ScholarBack to article
  28. Li, R., Li, S., Yuan, D. & Zhu, H. (2021). Investor attention and cryptocurrency: Evidence from wavelet-based quantile Granger causality analysis. Research in International Business and Finance, 56, 1-20.
    Search in Google ScholarBack to article
  29. Maghyereh, A. & Abdoh, H. (2020). Tail dependence between Bitcoin and financial assets: Evidence from a quantile cross-spectral approach. International Review of Financial Analysis, 71, 1-22.
    Search in Google ScholarBack to article
  30. Murty, S., Victor, V. & Fekete-Farkas, M. (2022). Is Bitcoin a Safe Haven for Indian Investors? A GARCH Volatility Analysis. Journal of Risk and Financial Management, 15(7), 1-13.
    Search in Google ScholarBack to article
  31. Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system.
    Search in Google ScholarBack to article
  32. Percival, D.B. & Walden, A.T. (2000). Wavelet methods for time series analysis (Vol. 4). Cambridge University Press, Cambridge.
    Search in Google ScholarBack to article
  33. Rijanto, A. (2023). Co-Movements between an Asian Technology Stock Index and Cryptocurrencies during the COVID- 19 Pandemic: A Bi-Wavelet Approach. Economies, 11(9), 232-252.
    Search in Google ScholarBack to article
  34. Su, C.W., Qin, M., Tao, R. & Zhang, X. (2020). Is the status of gold threatened by Bitcoin? Economic Research-Ekonomska Istraživanja, 33(1), 420 - 437.
    Search in Google ScholarBack to article
  35. Susana, D., Kavisanmathi, J.K. & Sreejith, S. (2020). Does Herding Behaviour Among Traders Increase During Covid 19 Pandemic? Evidence from the Cryptocurrency Market. In: Sharma, S.K., Dwivedi, Y.K., Metri, B. & Rana, N.P. (Eds.), Re-imagining Diffusion and Adoption of Information Technology and Systems: A Continuing Conversation (pp. 178–189). Springer International Publishing, Berlin.
    Search in Google ScholarBack to article
  36. Yermack, D. (2015). Chapter 2—Is Bitcoin a Real Currency? An Economic Appraisal. In: D. Lee Kuo Chuen (Ed.), Handbook of Digital Currency (pp. 31–43). Academic Press, Cambridge.
    Search in Google ScholarBack to article
  37. Youssef, M. & Waked, S.S. (2022). Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage. The North American Journal of Economics and Finance, 62, 1-10.
    Search in Google ScholarBack to article
DOI: https://doi.org/10.2478/fiqf-2024-0018 | Journal eISSN: 2719-3454
Journal RSS Feed
Language: English
Page range: 42 - 57
Submitted on: Mar 29, 2024
Accepted on: Jun 5, 2024
Published on: Sep 12, 2024
Published by: University of Information Technology and Management in Rzeszow
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year
Keywords:
Bitcoin,
Indian Financial Markets,
MODWT,
Wavelet Analysis,
COVID-19
Related subjects:
Business and economics,
Political economics,
Economic theory, systems and structures,
Microeconomics,
Macroeconomics,
Public finance and fiscal theory

© 2024 Shivam Sehgal, Jaspal Singh, published by University of Information Technology and Management in Rzeszow
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Previous articleVolume 20 (2024): Issue 3 (September 2024)Next article