A study on the dynamic conditional correlation among cryptocurrencies, stocks and gold: before and during covid-19 crisis / Chenfei HOU / 2022

Titre : A study on the dynamic conditional correlation among cryptocurrencies, stocks and gold: before and during covid-19 crisis Type de document : Mémoire Auteurs : Chenfei HOU, Auteur Année de publication : 2022 Importance : 28 p. Note générale : Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec votre compte Office 365 via le bouton CONNEXION en haut de page. Langues : Anglais (eng) Mots-clés : Management CRYPTOMONNAIE ; CRISE ECONOMIQUE ; INFLATION Résumé : This paper attempts to explore the dynamic conditional correlation among different cryptocurrencies and traditional financial instruments such as stocks and gold, emphasizing the examination of differences between the periods before and during the covid crisis. Multiple linear regression is used to investigate the relationship between the correlation and several variables including inflation rate, risk-free rate, VIX and covid confirmed cases. The study includes Standard & Poors 500 Composite, gold and four cryptocurrencies, three of which have substantial market capitalization and one of which has a tiny market capitalization. Daily returns of selected cryptocurrencies and traditional assets are taken for calculating and determining the correlation strength using the DCC-GARCH model. The following are the findings of the study: 1) The strong, positive correlation among large-cap cryptocurrencies is positively influenced by inflation and risk-free rate before the covid crisis and has strengthened during the covid crisis. 2) Large-cap and small-cap cryptos have positive correlations that swing around a modest level. None of the factors listed are relevant. 3) The linkage between cryptocurrencies and gold or stock is weak, positive yet constant, with no discernible variations owing to the crisis. 4) Correlation between different large-cap cryptos and S&P500 has been positively affected by inflation and has remarkably risen during the covid period. 5) S&P500 and gold have low, negative but stable connections throughout the entire period. In times of crisis, a greater positive correlation limits effective portfolio diversification, which must be addressed while making investments. Programme : MSc Financial Markets & Technologies Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=565296