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What is Co-Movement

Chapter 21
Handbook of Research on Cybersecurity Issues and Challenges for Business and FinTech Applications
The correlated or similar movement between two or more entities.
Published in Chapter:
Re-Thinking Cryptocurrencies as Safe-Haven Investment: Evidence in the U.S. and Emerging Countries
Christy Dwita Mariana (Bina Nusantara University, Indonesia), Irwan Adi Ekaputra (Universitas Indonesia, Indonesia), Zaäfri Ananto Husodo (Universitas Indonesia, Indonesia), and Dewi Tamara (Bina Nusantara University, Indonesia)
Copyright: © 2023 |Pages: 23
DOI: 10.4018/978-1-6684-5284-4.ch021
Abstract
This chapter investigates the global crisis's impact on the safe-haven role of the two most significant cryptocurrencies based on their market capitalizations: Bitcoin and Ethereum. This study compares the volatility transmission between the Bitcoin and stock markets in four emerging countries: Indonesia, Malaysia, Nigeria, and South Africa. This study follows the framework of volatility transmission of Diebold and Yilmas. This research also investigates the safe-haven role of cryptocurrencies using the safe-haven regression analysis and decoupling hypothesis. Overall results support the notion of cryptocurrencies as alternative investments. On average, the pairwise volatility spillover between Bitcoin and stock market in Indonesia, Malaysia, Nigeria, and South Africa reverted back to half of its mean in about 2-3 days. This result suggests on the choice of short-term investment for investors in the Bitcoin market. This study contributes to the discussion of cryptocurrencies as safe haven.
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