Connectedness between cryptocurrency and technology sectors: International evidence

【Author】 Umar, Zaghum; Trabelsi, Nader; Alqahtani, Faisal

【Source】INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

【影响因子】3.399

【Abstract】This paper investigates the connectedness between the technology sector and cryptocurrency markets using Diebold and Yilmaz's (2012, 2014) network connectedness measures. The data cover the period from August 1, 2014 to October 31, 2018. Despite the existence of significant interconnectedness between technology sectors worldwide, the results show that contributions from and to the cryptocurrency market are negligible. The cryptocurrency market appears to be less integrated with the technological system and structurally less exposed to systemic risk. To check robustness, application of Fern?andez-Macho's (2018) wavelet local multiple correlations found an almost exact linear relationship between global technology sectors for periods of quarterly and longer. Additionally, the Granger causality test confirmed the independence results except for in Japan, Turkey and the USA, where possible changes in cryptocurrency prices may be effective in predicting returns. These findings provide insights for cryptocurrency regulators and potential investors around the world.

【Keywords】Cryptos; Technology sector; Connectedness; Spillover effects; Systemic

【发表时间】2021 JAN

【收录时间】2022-01-02

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