How do cryptocurrency features determine their dynamic volatility and co-movements with stocks?
Whilst previous studies have primarily focused on the hedge effects and co-movements between cryptos and traditional assets, cryptos’ features that are associated with hedge effects and co-movements have often been neglected in extant studies. This research aims to investigate how specific cryptocur...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2025-12-01
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| Series: | Cogent Business & Management |
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| Online Access: | https://www.tandfonline.com/doi/10.1080/23311975.2025.2461732 |
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| author | Ismail Adelopo Xiaojun Luo |
| author_facet | Ismail Adelopo Xiaojun Luo |
| author_sort | Ismail Adelopo |
| collection | DOAJ |
| description | Whilst previous studies have primarily focused on the hedge effects and co-movements between cryptos and traditional assets, cryptos’ features that are associated with hedge effects and co-movements have often been neglected in extant studies. This research aims to investigate how specific cryptocurrency features influence their dynamic volatility and co-movements with stock markets. Using cointegration analysis and Granger causality tests, we explore the hedge effects and co-movement between the top 100 cryptos and eight leading stock markets. Additionally, we use logistic regression models to assess the role of crypto-specific features in driving these dynamics. We find that consensus mechanisms and having limited supply are key features influencing co-movements during and after the Covid-19 pandemic, while acting as a means of payment predominantly affects co-movement after the pandemic. We highlight cryptos underlying characteristics and functionalities that could significantly affect their demand and people’s attitudes toward them. Based on finance theory, these differing characteristics could affect cryptos’ versatility thereby impacting their demand, pricing, hedge effects and co-movement in their returns compared to stock returns. This paper makes significant theoretical contributions by addressing the role of crypto features in their co-movements and hedge effects on representative stock markets. |
| format | Article |
| id | doaj-art-70a1d3502d98431ebf2ae82435c2196b |
| institution | OA Journals |
| issn | 2331-1975 |
| language | English |
| publishDate | 2025-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Business & Management |
| spelling | doaj-art-70a1d3502d98431ebf2ae82435c2196b2025-08-20T02:29:55ZengTaylor & Francis GroupCogent Business & Management2331-19752025-12-0112110.1080/23311975.2025.2461732How do cryptocurrency features determine their dynamic volatility and co-movements with stocks?Ismail Adelopo0Xiaojun Luo1Bristol Business School, University of the West of England, Bristol, UKBristol Business School, University of the West of England, Bristol, UKWhilst previous studies have primarily focused on the hedge effects and co-movements between cryptos and traditional assets, cryptos’ features that are associated with hedge effects and co-movements have often been neglected in extant studies. This research aims to investigate how specific cryptocurrency features influence their dynamic volatility and co-movements with stock markets. Using cointegration analysis and Granger causality tests, we explore the hedge effects and co-movement between the top 100 cryptos and eight leading stock markets. Additionally, we use logistic regression models to assess the role of crypto-specific features in driving these dynamics. We find that consensus mechanisms and having limited supply are key features influencing co-movements during and after the Covid-19 pandemic, while acting as a means of payment predominantly affects co-movement after the pandemic. We highlight cryptos underlying characteristics and functionalities that could significantly affect their demand and people’s attitudes toward them. Based on finance theory, these differing characteristics could affect cryptos’ versatility thereby impacting their demand, pricing, hedge effects and co-movement in their returns compared to stock returns. This paper makes significant theoretical contributions by addressing the role of crypto features in their co-movements and hedge effects on representative stock markets.https://www.tandfonline.com/doi/10.1080/23311975.2025.2461732Cryptocurrencystock markethedging effectivenesssafe havenCo-movementsEconomics |
| spellingShingle | Ismail Adelopo Xiaojun Luo How do cryptocurrency features determine their dynamic volatility and co-movements with stocks? Cogent Business & Management Cryptocurrency stock market hedging effectiveness safe haven Co-movements Economics |
| title | How do cryptocurrency features determine their dynamic volatility and co-movements with stocks? |
| title_full | How do cryptocurrency features determine their dynamic volatility and co-movements with stocks? |
| title_fullStr | How do cryptocurrency features determine their dynamic volatility and co-movements with stocks? |
| title_full_unstemmed | How do cryptocurrency features determine their dynamic volatility and co-movements with stocks? |
| title_short | How do cryptocurrency features determine their dynamic volatility and co-movements with stocks? |
| title_sort | how do cryptocurrency features determine their dynamic volatility and co movements with stocks |
| topic | Cryptocurrency stock market hedging effectiveness safe haven Co-movements Economics |
| url | https://www.tandfonline.com/doi/10.1080/23311975.2025.2461732 |
| work_keys_str_mv | AT ismailadelopo howdocryptocurrencyfeaturesdeterminetheirdynamicvolatilityandcomovementswithstocks AT xiaojunluo howdocryptocurrencyfeaturesdeterminetheirdynamicvolatilityandcomovementswithstocks |