Proceedings of the International Workshop on Navigating the Digital Business Frontier for Sustainable Financial Innovation (ICDEBA 2024)

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Research on the Correlation Between Cryptocurrencies and Stock Index Returns

Authors
Chicheng Huang1, *
1Faculty of Science and Technology, Beijing Normal University-Hong Kong Baptist University United International College, Zhuhai, 519087, China
*Corresponding author. Email: s230018023@mail.uic.edu.cn
Corresponding Author
Chicheng Huang
Available Online 24 February 2025.
DOI
10.2991/978-94-6463-652-9_88How to use a DOI?
Keywords
Cryptocurrency; Stock index; Asset pricing; Risk management
Abstract

In recent years, cryptocurrency has developed rapidly, and as a special financial product, its connection with traditional financial derivatives has naturally become one of the hot topics in current research. This study used Pearson correlation coefficient, rolling correlation, multiple regression model, and Copula model, and collected relevant data of Bitcoin, Binance, Ethereum, S&P 500 index, and Dow Jones index over a long period of time for corresponding research. Research has found that there is a certain correlation between the returns of different cryptocurrencies and different stock indices. This means that investors will have more arbitrage and hedging methods to achieve significant returns. This study will explore the correlation between cryptocurrencies and stock indices, which will help reveal the connections between different markets, expand risk management and asset pricing theories. Changes in correlation can provide theoretical basis for investors to diversify hedging or arbitrage strategies, and help the academic community better construct cross market asset pricing and risk management models.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the International Workshop on Navigating the Digital Business Frontier for Sustainable Financial Innovation (ICDEBA 2024)
Series
Advances in Economics, Business and Management Research
Publication Date
24 February 2025
ISBN
978-94-6463-652-9
ISSN
2352-5428
DOI
10.2991/978-94-6463-652-9_88How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Chicheng Huang
PY  - 2025
DA  - 2025/02/24
TI  - Research on the Correlation Between Cryptocurrencies and Stock Index Returns
BT  - Proceedings of the International Workshop on Navigating the Digital Business Frontier for Sustainable Financial Innovation (ICDEBA 2024)
PB  - Atlantis Press
SP  - 817
EP  - 826
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-652-9_88
DO  - 10.2991/978-94-6463-652-9_88
ID  - Huang2025
ER  -