SPILLOVER AND QUANTITATIVE LINK BETWEEN CRYPTOCURRENCY SHOCKS AND STOCK RETURNS: NEW EVIDENCE FROM G7 COUNTRIES
نویسندگان
چکیده
The objective of this article is to analyze the co-movements in G7 stock markets, such as DJ index, S&P500 (representing USA market), FTSE 100 (United Kingdom), S&P/TSX (Canada), DAX 30 (Germany), CAC 40 (France), Nikkei 225 (Japan), Italy Ds market (Italy) and cryptocurrencies Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH) Crypto 10, during period February 2018 November 2021. results show that BTC, ETH, LTC increase between their pairs, while 10 index reduces number shocks when compared with sub-period before COVID-19. Regarding kept same level shocks, whereas decreased. For Germany (DAX), EUA (S&P500), Canada (S&P/TSX), United Kingdom (FTSE 100), France (CAC40), (Italy Market) markets an movements global pandemic period. It then possible conclude existence evidence regarding synchronization high co-movements, put at risk implementation efficient portfolio diversification strategies. These conclusions also open space for regulators take steps ensure better information on dynamics international financial markets.
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ژورنال
عنوان ژورنال: Balkans Journal of Emerging Trends in Social Sciences
سال: 2022
ISSN: ['2620-164X']
DOI: https://doi.org/10.31410/balkans.jetss.2022.5.1.1-14