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An Analysis of the Correlation between Cryptocurrencies and Hang Seng Index

Author(s)

Zhixuan Liu, Runjie Wang*

Affiliation(s)

North China University of Technology, Beijing 100144, China *Corresponding Author.

Abstract

With the development of credit carriers and advanced technologies, cryptocurrencies have flourished as a class of decentralised assets designed on blockchain architecture. In this paper, the daily closing price of Bitcoin and the closing price of Hang Seng Index between March 2022 and March 2024 are selected for empirical study based on the Vector autoregressive model. The results of the study show that there is a unidirectional Granger cause between the growth volume of daily price of Bitcoin market and the price of Hang Seng Index, and the price of Bitcoin is the Granger cause of the fluctuation of the price of Hang Seng Index, which leads to the conclusion that there is a certain lagged effect and influence between cryptocurrency market and Hang Seng Index in terms of the price performance, which provides a reference for the risk management and investment decision-making.

Keywords

Cryptocurrency; Vector Autoregressive Model; Stock Market; Market Performance

References

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