Crypto Asset Markets vs. Financial Markets: Event Identification, Latest Insights and Analyses
As crypto assets become more widely adopted, crypto asset markets and traditional financial markets may become increasingly interconnected. The close linkages between these markets have potentially important implications for price formation, contagion, risk management and regulatory frameworks. In t...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-04-01
|
| Series: | AppliedMath |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2673-9909/5/2/36 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1849418233687310336 |
|---|---|
| author | Eleni Koutrouli Polychronis Manousopoulos John Theal Laura Tresso |
| author_facet | Eleni Koutrouli Polychronis Manousopoulos John Theal Laura Tresso |
| author_sort | Eleni Koutrouli |
| collection | DOAJ |
| description | As crypto assets become more widely adopted, crypto asset markets and traditional financial markets may become increasingly interconnected. The close linkages between these markets have potentially important implications for price formation, contagion, risk management and regulatory frameworks. In this study, we assess the correlation between traditional financial markets and selected crypto assets, study factors that may impact the price of crypto assets and identify potentially significant events that may have an impact on Bitcoin and Ethereum price dynamics. For the latter analyses, we adopt a Bayesian model averaging approach to identify change points in the Bitcoin and Ethereum daily price time series. We then use the dates and probabilities of these change points to link them to specific events, finding that nearly all of the change points can be associated with known historical crypto asset-related events. The events can be classified into broader geopolitical developments, regulatory announcements and idiosyncratic events specific to either Bitcoin or Ethereum. |
| format | Article |
| id | doaj-art-d76dd74b996942fc9efa3e415aece978 |
| institution | Kabale University |
| issn | 2673-9909 |
| language | English |
| publishDate | 2025-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | AppliedMath |
| spelling | doaj-art-d76dd74b996942fc9efa3e415aece9782025-08-20T03:32:28ZengMDPI AGAppliedMath2673-99092025-04-01523610.3390/appliedmath5020036Crypto Asset Markets vs. Financial Markets: Event Identification, Latest Insights and AnalysesEleni Koutrouli0Polychronis Manousopoulos1John Theal2Laura Tresso3Bank of Greece, 10250 Athens, GreeceBank of Greece, 10250 Athens, GreeceBanque Centrale du Luxembourg, 2983 Luxembourg, LuxembourgEuropean Central Bank, 60314 Frankfurt am Main, GermanyAs crypto assets become more widely adopted, crypto asset markets and traditional financial markets may become increasingly interconnected. The close linkages between these markets have potentially important implications for price formation, contagion, risk management and regulatory frameworks. In this study, we assess the correlation between traditional financial markets and selected crypto assets, study factors that may impact the price of crypto assets and identify potentially significant events that may have an impact on Bitcoin and Ethereum price dynamics. For the latter analyses, we adopt a Bayesian model averaging approach to identify change points in the Bitcoin and Ethereum daily price time series. We then use the dates and probabilities of these change points to link them to specific events, finding that nearly all of the change points can be associated with known historical crypto asset-related events. The events can be classified into broader geopolitical developments, regulatory announcements and idiosyncratic events specific to either Bitcoin or Ethereum.https://www.mdpi.com/2673-9909/5/2/36financial marketscrypto assetsBayesian model averagingcorrelationdynamic conditional correlation |
| spellingShingle | Eleni Koutrouli Polychronis Manousopoulos John Theal Laura Tresso Crypto Asset Markets vs. Financial Markets: Event Identification, Latest Insights and Analyses AppliedMath financial markets crypto assets Bayesian model averaging correlation dynamic conditional correlation |
| title | Crypto Asset Markets vs. Financial Markets: Event Identification, Latest Insights and Analyses |
| title_full | Crypto Asset Markets vs. Financial Markets: Event Identification, Latest Insights and Analyses |
| title_fullStr | Crypto Asset Markets vs. Financial Markets: Event Identification, Latest Insights and Analyses |
| title_full_unstemmed | Crypto Asset Markets vs. Financial Markets: Event Identification, Latest Insights and Analyses |
| title_short | Crypto Asset Markets vs. Financial Markets: Event Identification, Latest Insights and Analyses |
| title_sort | crypto asset markets vs financial markets event identification latest insights and analyses |
| topic | financial markets crypto assets Bayesian model averaging correlation dynamic conditional correlation |
| url | https://www.mdpi.com/2673-9909/5/2/36 |
| work_keys_str_mv | AT elenikoutrouli cryptoassetmarketsvsfinancialmarketseventidentificationlatestinsightsandanalyses AT polychronismanousopoulos cryptoassetmarketsvsfinancialmarketseventidentificationlatestinsightsandanalyses AT johntheal cryptoassetmarketsvsfinancialmarketseventidentificationlatestinsightsandanalyses AT lauratresso cryptoassetmarketsvsfinancialmarketseventidentificationlatestinsightsandanalyses |