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Co-movements between Bitcoin and other asset classes in India

Co-movements between Bitcoin and other asset classes in India This study aims to analyze the dynamic relationship between the Bitcoin market and the conventional asset classes in IndiaDesign/methodology/approachThis 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.FindingsThe 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 implicationsThe 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/valueTo 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Indian Business Research Emerald Publishing

Co-movements between Bitcoin and other asset classes in India

Hung, Ngo Thai
Journal of Indian Business Research , Volume 13 (2): 19 – Jul 15, 2021
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Publisher
Emerald Publishing
Copyright
© Emerald Publishing Limited
ISSN
1755-4195
DOI
10.1108/jibr-03-2020-0071
Publisher site
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Abstract

This study aims to analyze the dynamic relationship between the Bitcoin market and the conventional asset classes in IndiaDesign/methodology/approachThis 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.FindingsThe 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 implicationsThe 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/valueTo 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.

Journal

Journal of Indian Business Research – Emerald Publishing

Published: Jul 15, 2021

Keywords: Bitcoin; Co-movement; India; Cryptocurrency; Wavelet analysis

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