Co-Movement between Bitcoin and Stock Indices in ASEAN-5 Markets

Abstract

Cryptocurrencies are one of the new financial assets that might provide some hedge, safe havens and diversification benefits towards traditional financial assets.However, the impact of COVID-19 towards their properties was also acknowledged in the literature and showed that COVID-19 significantly changed their properties against other financial assets.However, the comparison of the co-movement for the cryptocurrency and financial assets in the three different periods (pre-COVID-19, during COVID-19, and post-COVID-19) is relatively limited.Therefore, this study aimed to study the differences in the co-movement between Bitcoin and stock indices in ASEAN-5 markets in these three periods.The study period spanned from early January 2018 until the end of June 2024, and the conditional correlation was obtained through the MGARCH-DCC approach.These conditional correlation series were then divided into three periods, and statistically compared their statistical differences using an independent t-test.The results found that the comovement between Bitcoin and market indices was significantly different between pre-COVID-19 and during COVID-19 in all ASEAN-5 markets.Besides, when comparing pre-COVID-19 and post-COVID-19, the result showed that the co-movement between Bitcoin and market indices in Malaysia and Thailand was significantly reduced, while significantly enhanced between Bitcoin and market indices in Indonesia and the Philippines markets.Moreover, the results further revealed the significant differences between the co-movement of Bitcoin and market indices in Malaysia, Singapore and Thailand markets.Some useful implications were obtained from the study's findings, and it is expected to be beneficial to the literature and also to stakeholders.