Cryptocurrency Investments: Evidence from Intra Market Interactions
Abstract
The significance of cryptocurrency market to the global financial system motivated the study to probe the intra market dynamics by studying the prices, returns and volumes for five selected cryptocurrencies. The research is based on a sample of daily time series data on prices for the period January 2024 - March 2025. The research applied different types of regression including Vector Auto Regression along with causality analysis to draw inferences. A strong connection was observed between the returns of respective cryptocurrencies while a contrary trend was observed in correlation analysis. DogeCoin emerged as the cryptocurrency with most consistency in trends and relationships for the study variables. Additionally, the monthly portfolio return is observed to be more than the average daily return for four of the five cryptocurrencies studied.
References
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Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. Bitcoin.org. https://bitcoin.org/bitcoin.pdf
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Zhou, J. (2025). Bitcoin's risk-return pattern: A comparative analysis with traditional assets. Advances in Economics, Management and Political Sciences, 138, 150–159. https://doi.org/10.54254/2754-1169/2024.19212
Al Guindy, M. (2021). Cryptocurrency price volatility and investor attention. International Review of Economics & Finance, 76, 556–570. https://doi.org/10.1016/j.iref.2021.06.007
Alexander, C., & Dakos, M. (2020). A critical investigation of cryptocurrency data and analysis. Quantitative Finance, 20(2), 173–188. https://doi.org/10.1080/14697688.2019.1641347
Balcilar, M., Bouri, E., Gupta, R., & Roubaud, D. (2017). Can volume predict Bitcoin returns and volatility? A quantiles-based approach. Economic Modelling, 64, 74–81. https://doi.org/10.1016/j.econmod.2017.03.019
Bariviera, A. F. (2017). The inefficiency of Bitcoin revisited: A dynamic approach. Economics Letters, 161, 1–4. https://doi.org/10.1016/j.econlet.2017.09.013
Baruník, J., Kočenda, E., & Vácha, L. (2017). Asymmetric volatility connectedness on the forex market. Journal of International Money and Finance, 77, 39–56. https://doi.org/10.1016/j.jimonfin.2017.06.003
Berentsen, A., & Schär, F. (2018). A short introduction to the world of cryptocurrencies. Federal Reserve Bank of St. Louis Review, 100(1), 1–16. https://doi.org/10.20955/r.2018.1-16
Bhuiyan, R. A., Husain, A., & Zhang, C. (2023). Diversification evidence of Bitcoin and gold from wavelet analysis. Financial Innovation, 9, Article 100. https://doi.org/10.1186/s40854-023-00495-1
Bianchi, D. (2020). Cryptocurrencies as an asset class? An empirical assessment. The Journal of Alternative Investments, 23(2), 162–179. https://doi.org/10.3905/jai.2020.1.105
Boido, C., & Aliano, M. (2025). The contribution of cryptocurrencies to portfolio diversification. Investment Management and Financial Innovations, 22(2), 26–35. https://doi.org/10.21511/imfi.22(2).2025.03
Cheah, E.-T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 32–36. https://doi.org/10.1016/j.econlet.2015.02.029
Clark, E., Lahiani, A., & Mefteh-Wali, S. (2023). Cryptocurrency return predictability: What is the role of the environment? Technological Forecasting and Social Change, 189, Article 122350. https://doi.org/10.1016/j.techfore.2023.122350
Corbet, S., Meegan, A., Larkin, C., Lucey, B., & Yarovaya, L. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28–34. https://doi.org/10.1016/j.econlet.2018.01.004
Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
Dimpfl, T., & Elshiaty, D. (2021). Volatility discovery in cryptocurrency markets. The Journal of Risk Finance, 22(5), 313–331. https://doi.org/10.1108/JRF-11-2020-0238
Doskočil, R., & Budík, J. (2025). Optimization of cryptocurrency investment portfolio based on modern portfolio theory. Trends Economics and Management, 19(43), 9–22.
Dyhrberg, A. H. (2016). Bitcoin, gold and the dollar – A GARCH volatility analysis. Finance Research Letters, 16, 85–92. https://doi.org/10.1016/j.frl.2015.10.008
Ghorbel, A., & Jeribi, A. (2021). Investigating the relationship between volatilities of cryptocurrencies and other financial assets. Decisions in Economics and Finance, 44(2), 817–843.
Granger, C. W. J. (1987). Implications of aggregation with common factors. Econometric Theory, 3(2), 208–222. https://doi.org/10.1017/S0266466600010312
Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251–1271. https://doi.org/10.2307/1913827
International Monetary Fund. (2019). Treatment of crypto assets in macroeconomic statistics. International Monetary Fund. https://www.imf.org/external/pubs/ft/bop/2019/pdf/Clarification0422.pdf
Katsiampa, P. (2017). Volatility estimation for Bitcoin: A comparison of GARCH models. Economics Letters, 158, 3–6. https://doi.org/10.1016/j.econlet.2017.06.023
Kurka, J. (2019). Do cryptocurrencies and traditional asset classes influence each other? Finance Research Letters, 31, 38–46. https://doi.org/10.1016/j.frl.2019.04.018
Lamine, A., Jeribi, A., & Fakhfakh, T. (2024). Spillovers between cryptocurrencies, gold and stock markets: Implication for hedging strategies and portfolio diversification under the COVID-19 pandemic. Journal of Economics, Finance and Administrative Science, 29(57), 21–41. https://doi.org/10.1108/JEFAS-09-2021-0173
Liu, J., & Serletis, A. (2019). Volatility in the cryptocurrency market. Open Economies Review, 30(4), 779–811. https://doi.org/10.1007/s11079-019-09547-5
Lu, Y., Petsas, I., & Cai, J. (2025). Environmental factors and financial market spillover. Journal of Economics and Finance, 49, 568–612. https://doi.org/10.1007/s12197-025-09715-z
Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. Bitcoin.org. https://bitcoin.org/bitcoin.pdf
Pele, D. T., Wesselhöfft, N., Härdle, W. K., Kolossiatis, M., & Yatracos, Y. G. (2023). Are cryptos becoming alternative assets? The European Journal of Finance, 29(10), 1064–1105.
Terraza, V., Boru İpek, A., & Rounaghi, M. M. (2024). The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: Evidence from VAR-DCC-EGARCH and ANN models. Financial Innovation, 10, Article 22. https://doi.org/10.1186/s40854-023-00520-3
Xu, L., & Kinkyo, T. (2023). Hedging effectiveness of Bitcoin and gold: Evidence from G7 stock markets. Journal of International Financial Markets, Institutions and Money, 85, Article 101764. https://doi.org/10.1016/j.intfin.2023.101764
Zhou, J. (2025). Bitcoin's risk-return pattern: A comparative analysis with traditional assets. Advances in Economics, Management and Political Sciences, 138, 150–159. https://doi.org/10.54254/2754-1169/2024.19212
Published
2026-09-30
How to Cite
ALZUGAIBY, Basim; BELGACEM, Samira Ben; AHMAD, Moid U..
Cryptocurrency Investments: Evidence from Intra Market Interactions.
Theoretical and Practical Research in Economic Fields, [S.l.], v. 17, n. 3, p. 872 - 885, sep. 2026.
ISSN 2068-7710.
Available at: <https://journals.aserspublishing.eu/tpref/article/view/9672>. Date accessed: 03 oct. 2026.
doi: https://doi.org/10.14505/tpref.v17.3(39).17.
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