Earticle

초록

영어

This study investigates the relationships between three leading cryptocurrencies— Bitcoin, Ethereum, and Ripple—and six major implied volatility indices as proxies for stock market uncertainty: VIX, VXD, VSTOXX, VDAX, VXEFA, and VXEEM. We employ nonparametric causality-in-quantiles and quantile-on-quantile approaches to examine nonlinear causal effects and dependence structures across various cryptocurrency market states and levels of uncertainty. Our findings reveal a one-way information flow from cryptocurrency returns to stock market uncertainty, with stronger predictive power during periods of low uncertainty. This suggests that while stock market uncertainty may not reliably predict cryptocurrency returns, cryptocurrency-related information can significantly influence stock markets, particularly during low uncertainty, likely driven by investor attention to cryptocurrencies for diversification or speculative purposes. The quantile-on-quantile analysis shows that changes in implied volatility generally have a negative impact on cryptocurrency returns, with these effects being more pronounced at lower quantiles. Furthermore, cryptocurrencies’potential to act as hedges or safe havens against stock market uncertainty emerged only under extremely bullish market conditions and has significantly diminished over time due to the increasing integration of cryptocurrency and stock markets.

목차

Abstract
Ⅰ. Introduction
Ⅱ. Literature review
Ⅲ. Data and methodology
1. Data and preliminary analysis
2. Methodology
Ⅳ. Empirical findings
1. The causality-in-quantiles results
2. The quantile-on-quantile results
3. Robustness analysis
Ⅴ. Conclusion
References

키워드

저자

• Zouari Hammadi [ Assistant professor of finance at the High Institute of Management of Gabes, Tunisia ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330