Quantile correlation between fintech stocks and crypto-assets

【Author】 Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; Karikari, Nana Kwasi; Agbloyor, Elikplimi Komla; Lee, Chi-Chuan

【Source】APPLIED ECONOMICS

【影响因子】1.916

【Abstract】This research explores the dependence, directional predictability and dynamic co-movement between fintech and cryptocurrency markets from July 2016 to March 2021 using a series of quantile-based coherency techniques. The causality-in-quantiles results show a considerable difference between causality-in-mean and in-variance under different market conditions. For cross-quantilogram analysis, we observe minimal directional predictability between cryptocurrencies and fintech both in the short-run and in the long-run under bearish and bullish market states. From wavelet multiple cross-correlation models, we show that cryptocurrencies maximize multiple correlation compared to fintech across all time scales, denoting that cryptocurrencies are most dependent on fintech for all wavelet scales.

【Keywords】Fintech; cryptocurrencies; quantile dependence; directional predictability; cross-quantilogram, wavelets; C32; C58; G11; G21

【发表时间】2024 2024 NOV 12

【收录时间】2024-11-26

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