The interconnectedness of stock indices and cryptocurrencies during the Russia-Ukraine war
abstracts: This article examines the causal relationship between stock indices and cryptocurrencies during the ongoing Russia-Ukraine war. The econometric investigation covers the period from February 24, 2022 to April 12, 2023, and focuses on seven stock market indices (S&P 500, DAX, CAC40, Nik...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-12-01
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| Series: | Journal of Economic Criminology |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2949791423000398 |
| _version_ | 1797235418916192256 |
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| author | Nidhal Mgadmi Tarek Sadraoui Waleed Alkaabi Ameni Abidi |
| author_facet | Nidhal Mgadmi Tarek Sadraoui Waleed Alkaabi Ameni Abidi |
| author_sort | Nidhal Mgadmi |
| collection | DOAJ |
| description | abstracts: This article examines the causal relationship between stock indices and cryptocurrencies during the ongoing Russia-Ukraine war. The econometric investigation covers the period from February 24, 2022 to April 12, 2023, and focuses on seven stock market indices (S&P 500, DAX, CAC40, Nikkei, TSX, MOEX, PFTS) and seven cryptocurrencies (Bitcoin, Ethereum, Litecoin, Dash, Ripple, DigiByte, XEM). In this article, we investigate how investors react to fluctuations in financial assets and whether they seek safe havens in cryptocurrencies. We use dynamic causality in the Granger (1969) sense to detect a possible causal relationship in the short term, and seven models to estimate the long-term relationship between cryptocurrencies and financial assets. Our results show that in the short term, three famous cryptocurrencies (Bitcoin, Ethereum, Ripple) and two digital assets with minor popularity (XEM and DigiByte) are impacted by the German, Russian, and Ukrainian stock markets. In the long term, we find a positive and significant effect of the American, Canadian, French and Ukrainian stock market indices on Bitcoin. These findings suggest that the stability of traditional financial markets during the current war period can be explained on the one hand by investors' fears of an unstable business climate, and on the other hand, by speculators' interest in new electronic products that are perceived as hedging instruments and safe havens in times of crisis. |
| first_indexed | 2024-04-24T16:47:39Z |
| format | Article |
| id | doaj.art-b6f316a3978647b782b082e28372be0a |
| institution | Directory Open Access Journal |
| issn | 2949-7914 |
| language | English |
| last_indexed | 2024-04-24T16:47:39Z |
| publishDate | 2023-12-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Journal of Economic Criminology |
| spelling | doaj.art-b6f316a3978647b782b082e28372be0a2024-03-29T05:52:07ZengElsevierJournal of Economic Criminology2949-79142023-12-012100039The interconnectedness of stock indices and cryptocurrencies during the Russia-Ukraine warNidhal Mgadmi0Tarek Sadraoui1Waleed Alkaabi2Ameni Abidi3University of Manouba Tunisia, Faculty of Economics and Management of Mahdia, Tunisia; Corresponding author.University of Manouba Tunisia, Faculty of Economics and Management of Mahdia, TunisiaUniversity of Manouba Tunisia, Higher School of Commerce, Manouba, TunisiaUniversity of Manouba Tunisia, Faculty of Economics and Management of Mahdia, Tunisiaabstracts: This article examines the causal relationship between stock indices and cryptocurrencies during the ongoing Russia-Ukraine war. The econometric investigation covers the period from February 24, 2022 to April 12, 2023, and focuses on seven stock market indices (S&P 500, DAX, CAC40, Nikkei, TSX, MOEX, PFTS) and seven cryptocurrencies (Bitcoin, Ethereum, Litecoin, Dash, Ripple, DigiByte, XEM). In this article, we investigate how investors react to fluctuations in financial assets and whether they seek safe havens in cryptocurrencies. We use dynamic causality in the Granger (1969) sense to detect a possible causal relationship in the short term, and seven models to estimate the long-term relationship between cryptocurrencies and financial assets. Our results show that in the short term, three famous cryptocurrencies (Bitcoin, Ethereum, Ripple) and two digital assets with minor popularity (XEM and DigiByte) are impacted by the German, Russian, and Ukrainian stock markets. In the long term, we find a positive and significant effect of the American, Canadian, French and Ukrainian stock market indices on Bitcoin. These findings suggest that the stability of traditional financial markets during the current war period can be explained on the one hand by investors' fears of an unstable business climate, and on the other hand, by speculators' interest in new electronic products that are perceived as hedging instruments and safe havens in times of crisis.http://www.sciencedirect.com/science/article/pii/S2949791423000398CausalityStock indicesCryptocurrencyWarRussiaUkraine |
| spellingShingle | Nidhal Mgadmi Tarek Sadraoui Waleed Alkaabi Ameni Abidi The interconnectedness of stock indices and cryptocurrencies during the Russia-Ukraine war Journal of Economic Criminology Causality Stock indices Cryptocurrency War Russia Ukraine |
| title | The interconnectedness of stock indices and cryptocurrencies during the Russia-Ukraine war |
| title_full | The interconnectedness of stock indices and cryptocurrencies during the Russia-Ukraine war |
| title_fullStr | The interconnectedness of stock indices and cryptocurrencies during the Russia-Ukraine war |
| title_full_unstemmed | The interconnectedness of stock indices and cryptocurrencies during the Russia-Ukraine war |
| title_short | The interconnectedness of stock indices and cryptocurrencies during the Russia-Ukraine war |
| title_sort | interconnectedness of stock indices and cryptocurrencies during the russia ukraine war |
| topic | Causality Stock indices Cryptocurrency War Russia Ukraine |
| url | http://www.sciencedirect.com/science/article/pii/S2949791423000398 |
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