Cryptocurrency Market’s Effect on Speculative Assets such as Technology Stocks and Gold: Evidence from Europe

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School of Business | Bachelor's thesis
Electronic archive copy is available locally at the Harald Herlin Learning Centre. The staff of Aalto University has access to the electronic bachelor's theses by logging into Aaltodoc with their personal Aalto user ID. Read more about the availability of the bachelor's theses.

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Date

2021

Department

Rahoituksen laitos

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Mcode

Degree programme

Rahoitus

Language

en

Pages

33 + 9

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Abstract

The cryptocurrency market has expanded rapidly in the past years, which has major consequences for traditional finance. Cryptocurrencies have had negligible correlation and effects on the broad stock market. However, many similarities bearing speculative assets, which can be connected to cryptocurrency volatility and returns, have not been thoroughly studied. This thesis is a descriptive statistical analysis that aims to examine the consequences of cryptocurrencies on speculative assets, mainly technology stocks and gold. Consistent with Umar et al. (2021), the main empirical results suggest that cryptocurrencies have low connectivity to technology stock returns and volatility, albeit the causality is statistically significant. Cryptocurrency volatility appears to have a greater effect on technology sector performance than cryptocurrency returns. Consistent with Nagakawa and Sakemoto (2021), cryptocurrency returns Granger-cause gold returns at high statistical significance. These findings are prominent in the largest cryptocurrencies, Bitcoin and Ethereum. Smaller cryptocurrencies do not have similar statistically significant causality, except for stablecoins. Moreover, this study explores connectivity between cryptocurrencies and shows that certain cryptocurrencies are connected by high statistical significance while others have only low connectedness. For example, XRP cryptocurrency seems to have high connectedness to many other cryptocurrencies and gold.

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Thesis advisor

Lof, Matthijs

Keywords

cryptocurrency, Bitcoin, spillover effects, technology stocks, gold, asset class, market relations

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https://urn.fi/URN:NBN:fi:aalto-202201161224

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[kand] Kauppakorkeakoulu / BIZ