Cryptocurrency- U.S. equity co-movements under uncertainty: A rolling-window kernel regularized partial correlation approach

Sunday Adebayo T.

Finance Research Letters, vol.86, 2025 (SSCI, Scopus) identifier identifier

  • Nəşrin Növü: Article / Article
  • Cild: 86
  • Nəşr tarixi: 2025
  • Doi nömrəsi: 10.1016/j.frl.2025.108845
  • jurnalın adı: Finance Research Letters
  • Jurnalın baxıldığı indekslər: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
  • Açar sözlər: Cryptocurrency, Kernel Regularized Partial Correlation, Market Uncertainty, Monetary Policy Uncertainty, U.S. Equities
  • Açıq Arxiv Kolleksiyası: Məqalə
  • Adres: Bəli

Qısa məlumat

This study investigates the evolving interdependence between cryptocurrencies and U.S. equities within a macro-financial context. The study contributes methodologically by introducing the Rolling-Window Kernel Regularized Partial Correlation (RW-KRPC), which is specifically designed to capture nonlinear, time-varying, and conditional linkages. The study uses daily data from 3/11/2016 to 8/18/2025, to examine this association. Correlations between the S&P 500 and Bitcoin/Ethereum turned negative during the COVID-19 crisis and the FTX collapse - suggesting temporary safe-haven behavior - and strengthened during the early-2024 spot Bitcoin ETF approval period, indicating heightened co-movement. Ethereum exhibits stronger equity co-movements after 2024. The study formulates policy recommendations based on these findings.