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MARKET INTEGRATION BETWEEN CRYPTOCURRENCY AND TECHNOLOGY INDICES
This study investigates the relationship between cryptocurrency and semiconductor/technology indices for the period 2018(Q2) to 2023(Q2). The relationship was explored through use of correlation, Johansen cointegration, and Granger pairwise causality testing. The findings are key for determining the...
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| Format: | Thesis |
| Language: | English ENG |
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College of Accounting
2025
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| _version_ | 1867613308287188992 |
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| access_status_str | Open Access |
| author | Walker, Evan |
| author2 | De Jesus, Carlos |
| author_browse | De Jesus, Carlos Walker, Evan |
| author_facet | De Jesus, Carlos Walker, Evan |
| author_sort | Walker, Evan |
| collection | Thesis |
| description | This study investigates the relationship between cryptocurrency and semiconductor/technology indices for the period 2018(Q2) to 2023(Q2). The relationship was explored through use of correlation, Johansen cointegration, and Granger pairwise causality testing. The findings are key for determining the diversification benefits of cryptocurrencies and further examining the direction of causal relationships. The correlation results indicated weak to moderate correlation between cryptocurrencies and equity indices. The findings indicated that cryptocurrencies are cointegrated among each other and a bilateral causal relationship is present. Cointegration was found between cryptocurrencies and the Philadelphia Stock Exchange Semiconductor index, NASDAQ, S&P500, and Dow Jones. The NASDAQ, S&P500 and Dow Jones were found to cause crypto prices movements, but the reverse was true – for the latter two – when Binance was removed from the index. These findings suggest a lack of diversification benefits of cryptocurrencies compared to the semiconductor/technology sector. Investors should be careful when including cryptocurrencies into their portfolios as to not overexpose themselves to risk pervasive in both markets. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/41157 |
| institution | University of Cape Town (South Africa) |
| language | English ENG |
| last_indexed | 2026-06-10T12:34:03.682Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2025 |
| publishDateRange | 2025 |
| publishDateSort | 2025 |
| publisher | College of Accounting |
| publisherStr | College of Accounting |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/41157 MARKET INTEGRATION BETWEEN CRYPTOCURRENCY AND TECHNOLOGY INDICES Walker, Evan De Jesus, Carlos Correlation, Johansen Cointegration, Granger pairwise causality, Cryptocurrency, Philadelphia Stock Exchange Semiconductor index, NASDAQ, S&P500, Dow Jones This study investigates the relationship between cryptocurrency and semiconductor/technology indices for the period 2018(Q2) to 2023(Q2). The relationship was explored through use of correlation, Johansen cointegration, and Granger pairwise causality testing. The findings are key for determining the diversification benefits of cryptocurrencies and further examining the direction of causal relationships. The correlation results indicated weak to moderate correlation between cryptocurrencies and equity indices. The findings indicated that cryptocurrencies are cointegrated among each other and a bilateral causal relationship is present. Cointegration was found between cryptocurrencies and the Philadelphia Stock Exchange Semiconductor index, NASDAQ, S&P500, and Dow Jones. The NASDAQ, S&P500 and Dow Jones were found to cause crypto prices movements, but the reverse was true – for the latter two – when Binance was removed from the index. These findings suggest a lack of diversification benefits of cryptocurrencies compared to the semiconductor/technology sector. Investors should be careful when including cryptocurrencies into their portfolios as to not overexpose themselves to risk pervasive in both markets. 2025-03-12T10:04:04Z 2025-03-12T10:04:04Z 2023-12 2025-03-12T09:56:01Z Thesis / Dissertation Masters MCom http://hdl.handle.net/11427/41157 en ENG application/pdf College of Accounting Faculty of Commerce University of Cape Town |
| spellingShingle | Correlation, Johansen Cointegration, Granger pairwise causality, Cryptocurrency, Philadelphia Stock Exchange Semiconductor index, NASDAQ, S&P500, Dow Jones Walker, Evan MARKET INTEGRATION BETWEEN CRYPTOCURRENCY AND TECHNOLOGY INDICES |
| thesis_degree_str | Master's |
| title | MARKET INTEGRATION BETWEEN CRYPTOCURRENCY AND TECHNOLOGY INDICES |
| title_full | MARKET INTEGRATION BETWEEN CRYPTOCURRENCY AND TECHNOLOGY INDICES |
| title_fullStr | MARKET INTEGRATION BETWEEN CRYPTOCURRENCY AND TECHNOLOGY INDICES |
| title_full_unstemmed | MARKET INTEGRATION BETWEEN CRYPTOCURRENCY AND TECHNOLOGY INDICES |
| title_short | MARKET INTEGRATION BETWEEN CRYPTOCURRENCY AND TECHNOLOGY INDICES |
| title_sort | market integration between cryptocurrency and technology indices |
| topic | Correlation, Johansen Cointegration, Granger pairwise causality, Cryptocurrency, Philadelphia Stock Exchange Semiconductor index, NASDAQ, S&P500, Dow Jones |
| url | http://hdl.handle.net/11427/41157 |
| work_keys_str_mv | AT walkerevan marketintegrationbetweencryptocurrencyandtechnologyindices |