Connectedness between sectoral cryptos and counterpart stocks
This study examines the interconnection between sectoral cryptocurrencies and their corresponding stocks across 14 industries from 2022-2024. Using wavelet coherence, we evaluate crypto-stock interconnectedness across multiple investment frequencies and timescales and identify cross-sector patterns...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2025-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2025.2549934 |
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| Summary: | This study examines the interconnection between sectoral cryptocurrencies and their corresponding stocks across 14 industries from 2022-2024. Using wavelet coherence, we evaluate crypto-stock interconnectedness across multiple investment frequencies and timescales and identify cross-sector patterns using k-means clustering of coherence maps. We conduct two types of analyses: (1) a within-sector dynamics, assessing time-varying connectedness between each crypto-stock pair; and (2) cross-sector grouping to uncover common regimes. Results show weak, fragmented, and short-lived in cloud computing, telecommunications, gaming and gambling, with only sporadic bursts. In contrast, supply chain and education exhibit strong, persistent long-term coherence. Insurance, cybersecurity, and e-commerce display episodic, event-driven coherence, with peaks around policy shifts and major sector news. These findings highlight that crypto-stock connectedness is sector- and horizon-dependent rather than uniform. The evidence informs sector-specific risk management, portfolio construction, and timing of tokenisation strategies, and supports more tailored regulatory oversight. |
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| ISSN: | 2332-2039 |