VOLATILITY SPILLOVERS FROM STOCK MARKET TO CRYPTO MARKET

This dissertation presents evidence that there is a relationship between the stock market and non-regulated crypto markets, particularly in times of uncertainty of the macroeconomic environment, as the year 2020. I exploit the relationship between the S&P500 and DAX stock indices and the cryptocurrency markets of Bitcoin and Ethereum, using a dataset that comprehends daily price variations between 2017 and 2022. A breaking point was created in 2020 in order to understand the relationship between the stock and cryptocurrency markets in two subsamples that shape different market environments. Before 2020, there is no evidence found in volatility spillovers from the S&P500 to Bitcoin market at a 5% significance level. However, the findings suggest that after the breaking point, there are volatility spillovers from the stock market (mainly S&P500) to Bitcoin and Ethereum markets, particularly in the year 2020, a critical period of the pandemic crisis. Vector Autoregressive methods were used in order to model the time series, allowing for the study of Granger causality relations and perform Impulse Response Functions. A triangular VAR-GARCH model is also estimated to further incorporate heteroskedasticity in the series.