Quantile correlation between fintech stocks and crypto-assets

Abstract

This research explores the dependence, directional predictability and dynamic co-movement between fintech and cryptocurrency markets from July 2016 to March 2021 using a series of quantile-based coherency techniques. The causality-in-quantiles results show a considerable difference between causality-in-mean and in-variance under different market conditions. For cross-quantilogram analysis, we observe minimal directional predictability between cryptocurrencies and fintech both in the short-run and in the long-run under bearish and bullish market states. From wavelet multiple cross-correlation models, we show that cryptocurrencies maximize multiple correlation compared to fintech across all time scales, denoting that cryptocurrencies are most dependent on fintech for all wavelet scales.