ANALYSING THE NEXUS: STOCK INDICES AND CRYPTOCURRENCIES DURING THE CONFLICT BETWEEN RUSSIA AND UKRAINE

Rui Dias; Mariana Chambino; Rosa Galvão; Paulo Alexandre; Miguel Varela; Mohammad Irfan

doi:10.24857/rgsa.v18n3-108

ANALYSING THE NEXUS: STOCK INDICES AND CRYPTOCURRENCIES DURING THE CONFLICT BETWEEN RUSSIA AND UKRAINE

Rui Dias
, Mariana Chambino
, Rosa Galvão
, Paulo Alexandre
, Miguel Varela
, Mohammad Irfan

Polytechnic Institute of Lusophony
Polytechnic Institute of Setúbal
ISLA Santarém
NSB Academy

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

Background: The global economy faced increased instability due to the simultaneous occurrence of two major events, the global pandemic in 2020 and the Russian-Ukrainian conflict in 2022, which impacted the financial markets. Purpose: This paper aimed to evaluate the comovements between the USA (S&P 500), Germany (DAX 30), France (CAC40), Japan (Nikkei 225), Canada (TSX), Russia (MOEX) and Ukraine (PFTS) stock markets and the cryptocurrencies Bitcoin (BTC), Ethereum (ETH), Litcoin (LTC) Dash (DASH/USD), Ripple (XRP) DigiByte (DGB) and Nem (XEM), from February 24, 2022, to April 12, 2023 Methods: The approach to our research question will involve using the causality econometric model, Granger SVAR (Vector Autoregressive). Results: The results showed that stock indices and digital currencies show sharp structural breaks, and not all markets influence cryptocurrencies. The MOEX stock market affects the price formation of BTC, ETH, DGB, XEM, and XRP, while the DAX 30 stock index impacts ETH, LTC, DASH, DGB, and XEM. The Ukraine market (PFTS) influences ETH, but the other stock markets do not influence any of the cryptocurrencies analysed. Conclusion: Investors, policymakers, and other participants operating in the digital currency markets can find valuable information in the study's conclusions when seeking to rebalance their portfolios.

Translated title of the contribution	ANALISANDO O NEXO: ÍNDICES DE ACÇÕES E CRIPTOMOEDAS DURANTE O CONFLITO ENTRE A RÚSSIA E A UCRÂNIA
Original language	English
Article number	e06546
Journal	Revista de Gestao Social e Ambiental
Volume	18
Issue number	3
DOIs	https://doi.org/10.24857/rgsa.v18n3-108
Publication status	Published - 2024
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2024 ANPAD - Associacao Nacional de Pos-Graduacao e Pesquisa em Administracao. All rights reserved.

Funding

Rui Dias is pleased to acknowledge the financial support from Instituto Superior de Gestão Rui Dias is pleased to acknowledge the financial support from Instituto Superior de Gestão (ISG) [ISG - Business & Economics School], CIGEST.

Funders
Instituto Superior de Gestão
Business & Economics School
CIGEST

Keywords

Comovements
Cryptocurrencies
Portfolio Diversification
Stock Indices

Access to Document

10.24857/rgsa.v18n3-108

Cite this

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title = "ANALYSING THE NEXUS: STOCK INDICES AND CRYPTOCURRENCIES DURING THE CONFLICT BETWEEN RUSSIA AND UKRAINE",

abstract = "Background: The global economy faced increased instability due to the simultaneous occurrence of two major events, the global pandemic in 2020 and the Russian-Ukrainian conflict in 2022, which impacted the financial markets. Purpose: This paper aimed to evaluate the comovements between the USA (S\&P 500), Germany (DAX 30), France (CAC40), Japan (Nikkei 225), Canada (TSX), Russia (MOEX) and Ukraine (PFTS) stock markets and the cryptocurrencies Bitcoin (BTC), Ethereum (ETH), Litcoin (LTC) Dash (DASH/USD), Ripple (XRP) DigiByte (DGB) and Nem (XEM), from February 24, 2022, to April 12, 2023 Methods: The approach to our research question will involve using the causality econometric model, Granger SVAR (Vector Autoregressive). Results: The results showed that stock indices and digital currencies show sharp structural breaks, and not all markets influence cryptocurrencies. The MOEX stock market affects the price formation of BTC, ETH, DGB, XEM, and XRP, while the DAX 30 stock index impacts ETH, LTC, DASH, DGB, and XEM. The Ukraine market (PFTS) influences ETH, but the other stock markets do not influence any of the cryptocurrencies analysed. Conclusion: Investors, policymakers, and other participants operating in the digital currency markets can find valuable information in the study's conclusions when seeking to rebalance their portfolios.",

keywords = "Comovements, Cryptocurrencies, Portfolio Diversification, Stock Indices",

author = "Rui Dias and Mariana Chambino and Rosa Galv{\~a}o and Paulo Alexandre and Miguel Varela and Mohammad Irfan",

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AU - Varela, Miguel

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AB - Background: The global economy faced increased instability due to the simultaneous occurrence of two major events, the global pandemic in 2020 and the Russian-Ukrainian conflict in 2022, which impacted the financial markets. Purpose: This paper aimed to evaluate the comovements between the USA (S&P 500), Germany (DAX 30), France (CAC40), Japan (Nikkei 225), Canada (TSX), Russia (MOEX) and Ukraine (PFTS) stock markets and the cryptocurrencies Bitcoin (BTC), Ethereum (ETH), Litcoin (LTC) Dash (DASH/USD), Ripple (XRP) DigiByte (DGB) and Nem (XEM), from February 24, 2022, to April 12, 2023 Methods: The approach to our research question will involve using the causality econometric model, Granger SVAR (Vector Autoregressive). Results: The results showed that stock indices and digital currencies show sharp structural breaks, and not all markets influence cryptocurrencies. The MOEX stock market affects the price formation of BTC, ETH, DGB, XEM, and XRP, while the DAX 30 stock index impacts ETH, LTC, DASH, DGB, and XEM. The Ukraine market (PFTS) influences ETH, but the other stock markets do not influence any of the cryptocurrencies analysed. Conclusion: Investors, policymakers, and other participants operating in the digital currency markets can find valuable information in the study's conclusions when seeking to rebalance their portfolios.

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KW - Portfolio Diversification

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ANALYSING THE NEXUS: STOCK INDICES AND CRYPTOCURRENCIES DURING THE CONFLICT BETWEEN RUSSIA AND UKRAINE

Abstract

Bibliographical note

Funding

Keywords

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