Exploring the Dynamic Relationships between Cryptocurrencies and Stock Markets in the ASEAN-5

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Sirikwan Jaroenwiriyakul
Wichyada Tanomchat


This research examines the dynamic linkage between four major cryptocurrencies—Bitcoin, Ethereum, Ripple, and Litecoin—and stock markets in ASEAN-5. The findings revealed that first, linkage testing, in the long run using Engle and Granger co-integration, provided evidence of a relationship among all cryptocurrencies with the stock markets in ASEAN-5, with the exception of Malaysia. Secondly, using the dynamic conditional correlation model, the results showed that time-varying patterns of short-run correlations were found in all relationships. Moreover, the Litecoin linkage with ASEAN-5 markets fluctuated significantly. Further, Bitcoin’s dynamic linkage with the stock markets showed a very high correlation from 2013 to 2015, and then became close to stable until January 2020. Finally, this paper tested the determinants of the linkage cryptocurrencies with financial market factors, consisting of GOLD, CRUDE, FX, and INT. The empirical results showed that GOLD and INT did not affect the degree of linkage with the stock market or cryptocurrency, although both CRUDE and FX impacted it. As for recommendations and policy implications, the cryptocurrencies demonstrated a dynamic linkage with stock markets and exhibited extreme volatility, and therefore the five countries should prepare a policy or regular information regarding cryptocurrencies for investors or policymakers. On the other hand, investors should focus on indicators such as foreign exchange rates and crude oil prices prior to trading.



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Jaroenwiriyakul, S., & Tanomchat, W. (2020). Exploring the Dynamic Relationships between Cryptocurrencies and Stock Markets in the ASEAN-5. Journal of Applied Economics and Management Strategy, 7(1), 129–144. Retrieved from https://kuojs.lib.ku.ac.th/index.php/jems/article/view/3359
บทความวิจัย (Research Article)