The relationship between bitcoin and the stock market: empirical evidence from the ASEAN countries

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Le, Ha Duong (2025) The relationship between bitcoin and the stock market: empirical evidence from the ASEAN countries. [Dissertation (University of Nottingham only)]

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Abstract

This dissertation examines the relationship between Bitcoin returns and the stock market performance of selected ASEAN countries over a 6-year period, from July 2018 to June 2024, using the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model. With the increasing prominence of Bitcoin and its potential influence on traditional financial markets, this study aims to explore the correlation between Bitcoin's volatility and returns with the stock market performance of ASEAN nations, including Vietnam, Indonesia, Malaysia, Singapore, Thailand, and the Philippines.

By employing the DCC-GARCH model, the research captures the time-varying correlations between Bitcoin and stock market returns, allowing for a more precise understanding of the dynamic relationship between the two. The findings reveal a significant correlation between Bitcoin returns and the stock markets of the selected ASEAN countries during the study period. The results suggest that, while the relationship is not constant, there are periods where the correlation intensifies, reflecting market sentiment and global economic events.

This study contributes to the growing literature on cryptocurrency-market interactions and offers valuable insights for investors, policymakers, and financial analysts seeking to navigate the complexities of digital currencies and traditional stock markets. The findings have practical implications for investment strategies and risk management in the ASEAN region.

Item Type: Dissertation (University of Nottingham only)
Keywords: bitcoin; stock market; volatility; GARCH
Depositing User: Le, Ha Duong
Date Deposited: 04 Aug 2025 07:16
Last Modified: 04 Aug 2025 07:16
URI: https://eprints.nottingham.ac.uk/id/eprint/80195

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