Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022)

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Research on the relationship between Cryptocurrency and OTC market based on VAR model

Authors
Ruyue Han1, *, Xuecheng Wang1
1North China University of Technology, Beijing, China
*Corresponding author. Email: YT3511677906@163.com
Corresponding Author
Ruyue Han
Available Online 27 December 2022.
DOI
10.2991/978-94-6463-098-5_23How to use a DOI?
Keywords
cryptocurrency; OTC market; VAR model; risk assets
Abstract

Based on the VAR model, this paper uses weekly data of cryptocurrency indices and weekly closing prices of OTC markets from March 2018 to July 2022 to conduct empirical research. The results show that the weekly closing price increase of the OTC market is the Granger cause of the weekly increase of the cryptocurrency index, but the weekly increase of the cryptocurrency index is not the Granger cause of the weekly closing price increase of the OTC market, that is, the long-term fluctuation of the OTC market price will affect the fluctuation of the cryptocurrency market price, but the fluctuation of the cryptocurrency market price will not affect the fluctuation of the OTC market price. At the same time, according to the analysis of the pulse response chart, when the OTC market is impacted by one unit, the cryptocurrency index fluctuates to the highest point in the second period, and the fluctuation in the fifth period approaches zero. On the basis of these empirical research results, this paper will put forward targeted suggestions.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
27 December 2022
ISBN
78-94-6463-098-5
ISSN
2352-5428
DOI
10.2991/978-94-6463-098-5_23How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Ruyue Han
AU  - Xuecheng Wang
PY  - 2022
DA  - 2022/12/27
TI  - Research on the relationship between Cryptocurrency and OTC market based on VAR model
BT  - Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022)
PB  - Atlantis Press
SP  - 187
EP  - 193
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-098-5_23
DO  - 10.2991/978-94-6463-098-5_23
ID  - Han2022
ER  -