Exploring fluctuations and interconnected movements in stock, commodity, and cryptocurrency markets

Akin, I ORCID: 0000-0003-0918-7441, Akin, M ORCID: 0000-0002-9021-869X, Ozturk, Z, Hameed, A, Opara, V ORCID: 0000-0002-5148-3204 and Satiroglu, H ORCID: 0000-0001-7483-4305 (2024) 'Exploring fluctuations and interconnected movements in stock, commodity, and cryptocurrency markets.' British Actuarial Journal, 29. e13.

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Abstract

This research employs a vector autoregression (VAR) analysis to explore the volatility and dynamic interactions between stock, commodity, and cryptocurrency markets. It focuses on the returns of the S&P 500, gold, crude oil, and Bitcoin to analyse their interconnections. Our results indicate that Bitcoin returns positively affect S&P 500 and crude oil, but negatively impact gold. Conversely, crude oil returns have a positive influence on gold but lead to decreased returns for Bitcoin and the S&P 500. Similarly, higher gold returns correspond to increased returns in crude oil and S&P 500 but decreased returns in Bitcoin. The rise of the S&P 500 negatively influences Bitcoin and crude oil returns, while gold returns remain unaffected. However, these relationships exhibit weak and limited strength. Including these assets in a portfolio can help risk mitigation, as Bitcoin diversifies crude oil, gold, and S&P 500, and crude oil diversifies S&P 500. These findings contribute to our understanding of global financial dynamics and inform decision-making in risk assessment, portfolio management, risk mitigation, and diversification strategies.

Item Type:	Article
UN SDGs:	Goal 8: Decent Work and Economic Growth
Keywords:	bitcoin return, gold return, oil return, S&P 500 return, vector autoregression (VAR) analysis
Subjects:	H Social Sciences > HG Finance
Divisions:	Bath Business School
Date Deposited:	01 Oct 2024 10:31
Last Modified:	22 Jan 2025 14:27
ISSN:	2044-0456
URN:	https://researchspace.bathspa.ac.uk/id/eprint/16488

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