Relation Between Digital Currencies and Other Financial Markets: A Non-Linear and Multivariate Analysis

This study investigates the relationship between digital currency and broad financial markets covering equities, currencies, bonds, crude oil, and gold. It uses the Non-linear Autoregressive Distributed Lag model and wavelet coherence. The results demonstrate some relationships between digital currencies and other financial assets, with some evidence of asymmetry and a lead-lag relationship that is mostly significant at the medium timescales. The results provide useful insights for various market participants.