Indexes of Relative Technology and Digital Currency

In this paper, we investigate the stochastic properties of six major cryptocurrencies and their bilateral linkages with stock market indices using fractional integration techniques. Specifically; To analyze cointegration relationship among technical stock and Crypto currency, and investigate the causality among technical stock and Crypto currency. For this purpose, we selected two technology related stock market indices namely, S&P BSE TECK, and S&P BSE IT from the Bombay Stock Exchange, in addition to these we taken in to consideration five major coins (Bitcoin, Tether, XRP, Ethereum and HEX) for the time period of 2010-2020. Before conducting cointegration and causality analysis, we perform preliminary analysis using Augmented Dickey-Fuller (ADF) and KPSS test, to test the validity of market integration hypothesis and descriptive statistics. Johansen’s cointegration technique is used for examining the presence of cointegration between selected variables. The Vector Error Correction Model (VECM) are used to analyze the strength of causality among the variables. We find evidence of cointegration between cryptocurrencies and stock market indices, implying that cryptocurrencies are related to technical indices. The result will help the investors and portfolio managers to make better financial investment decision including portfolio diversification