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Balkans Journal of Emerging Trends in Social Sciences - Balkans JETSS

SPILLOVER AND QUANTITATIVE LINK  BETWEEN CRYPTOCURRENCY SHOCKS AND STOCK RETURNS:   NEW EVIDENCE FROM G7 COUNTRIES

Nicole Horta -  School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
Rui Dias -  School of Business and Administration, Polytechnic Institute of Setúbal, Portugal; CEFAGE-UE, IIFA, University
of Évora, Portugal
Catarina Revez -  School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
Paula Heliodoro - School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
Paulo Alexandre - School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

DOI: https://doi.org/10.31410/Balkans.JETSS.2022.5.1.1-14​​​​​

Balkans Journal of Emerging Trends in Social Sciences, (2022) , Vol 5, No 1
ISSN: 2620-164X
balkans.jetss.2022.5.1.1-14.pdf
File Size: 1149 kb
File Type: pdf
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Abstract:   The objective of this article is to analyze the co-movements in the G7 stock markets,  such as DJ index, S&P500 (representing the USA stock market), FTSE 100 (United Kingdom), S&P/TSX (Canada), DAX 30 (Germany), CAC 40 (France), Nikkei 225 (Japan), Italy Ds market (Italy) and the cryptocurrencies Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH) and Crypto 10, during the period of February of 2018 to November of 2021. The results show that the cryptocurrencies BTC, ETH, and LTC increase the co-movements between their pairs, while the Crypto 10 index reduces the number of shocks when compared with the sub-period before COVID-19. Regarding the stock markets, DJ index kept the same level of shocks, whereas the Nikkei 225 decreased. For Germany (DAX), EUA (S&P500), Canada (S&P/TSX), United Kingdom (FTSE 100), France (CAC40), and Italy (Italy Ds Market) markets the results show an increase in movements during the global pandemic period. It is then possible to conclude the existence of evidence regarding synchronization and high co-movements, the results put at risk the implementation of efficient portfolio diversification strategies. These conclusions also open space for the market regulators to take steps to ensure better information on the dynamics of the international financial markets.
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Keywords: Cryptocurrencies; G7 market; Co-movements; Portfolio diversification.

JEL Classification    E44 · D53 · G15
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