THE IMPACT OF CRYPTOCURRENCIES ON TRADITIONAL FINANCIAL MARKETS

University of East Sarajevo, Faculty of Business Economics, Bijeljina, Republic of Srpska, BiH
Bosnia and Herzegovina

University of East Sarajevo, Faculty of Business Economics, Bijeljina, Republic of Srpska, BiH
Bosnia and Herzegovina


Abstract

The paper examines the impact of cryptocurrencies on financial markets. The analysis is based on monthly data for the period 2019-2023. Kendall's and Spearman's correlation analysis methods were applied to investigate the relationship between cryptocurrency prices and traditional financial instruments. The variables used in the analysis include the prices of Bitcoin, Ethereum, and BNB, gold, crude oil, and the MSCI World Index. The correlation analysis, employing Kendall's and Spearman's correlation coefficients, decisively refutes the null hypothesis of the absence of a statistically significant relationship between cryptocurrency prices and those of traditional financial instruments. Notably, the findings underscore significant and positive correlations between Bitcoin, Ethereum, and BNB prices, and those of crude oil, gold, and the MSCI World Index. According to the results of the VAR analysis and Granger Causality test, a causal relationship can be confirmed in one direction from Bitcoin to crude oil, but not vice versa. Additionally, there is a one-way causal relationship from the MSCI World Index to the price of Ethereum. Furthermore, there are bidirectional causal relationships in most interactions among the selected cryptocurrencies.

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References


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