Please use this identifier to cite or link to this item:
http://dspace.lib.uom.gr/handle/2159/23999
Author: | Sioutopoulos, Georgios |
Title: | A Granger Causality analysis between the bitcoin and the stock market returns of countries related to money laundering |
Date Issued: | 2020 |
Department: | Πρόγραμμα Μεταπτυχιακών Σπουδών Εφαρμοσμένα Οικονομικά |
Supervisor: | Pantelidis, Theologos |
Abstract: | The purpose of this paper is to investigate the causal relationship between various stock markets and the bitcoin. The selection of the stock market under scrutiny is not random. Many media outlets, researchers, international and public organizations, accuse the Bitcoin, and other cryptocurrencies being used for money laundering and illicit activities. This paper examines the existence of Granger causality-in-mean and in-variance between the bitcoin and stock indices of countries, that are traditionally associated with illegal activities. The methodology was based on the test from (Cheung, 1996) and Ng, which allows for the analyses of Granger causality in-mean and in-variance. The results suggest that there is in fact a relationship from bitcoin to some of the stock indices under inspection, and the causality is uni-directional from bitcoin to the other stock indices. The empirical findings show that Bitcoin is the Granger cause in-mean to CSE(Cyprus) , FTSE100( U.K.) , LuxX (Luxembourg) and China’s SHCOMP. Although rare there are cases of volatility spillover from Bitcoin to some stock indices. The test conducted reveal that there is a Granger causality in-variance from Bitcoin to German DAX and FTSE100. |
Keywords: | Bitcoin Cryptocurrencies money laundering Granger causality Volatility spillover Cusality in mean Causality in variance Cross correlation function |
Information: | Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2020. |
Rights: | CC0 1.0 Παγκόσμια |
Appears in Collections: | ΠΜΣ Εφαρμοσμένα Οικονομικά και Χρηματοοικονομικά (Πρώην Εφαρμοσμένα Οικονομικά) (Μ) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
SioutopoulosGeorgiosMsc2020.pdf | 1.92 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License