Economics and Business
ISSN 2775-9237 (Online)
Published: 29 October 2023
Theoretical Framework on Analyzing the Relationship and its Mechanism Between Stock Markets and Bitcoin Market with Specialization in Vietnam
Dang Phong Nguyen, Do Hoai Linh
Posts and Telecommunication Institute of Technology (Vietnam), National Economics University (Vietnam)
Download Full-Text Pdf
Keywords: Bitcoin, Stock Market, Contagion, Spillover, Safe-Haven, Investor Sentiment
The article focuses on studying the theoretical framework of the connectedness between many stock markets and the Bitcoin market with a specific review in Vietnamese market. With a desk-based approach, content aspects are focused on including a research overview of financial contagion and inter-market relationship. The majority of the related researches confirmed that the contagion between Bitcoin and stock market existed in many different contexts. The two most popular mechanisms for the spillover effect analyzed in these studies were safe-haven characteristic and investor behavior. If Bitcoin could serve as a safe – haven, investors tended to shift the portfolio from stock to this crypto in case of a downtrend leading to the movement of cash flow out of stock market. On the other hand, when investors had sentiment on Bitcoin value, they would prefer investing more in this crypto to holding only securities, which also results in a contagion between two markets.
Adjani Z. N. and Zaafri Husodo (2022), Bitcoin and gold as hedging instruments for ASEAN-5 stock market, pp. 296-299.
Allen Franklin and Douglas Gale (2000), Financial Contagion, Journal of Political Economy,No.108(1), pp. 1-33.
Asad Muzaffar, Mosab I. Tabash, Umaid A. Sheikh, Mesfer Mubarak Al-Muhanadi and Zahid Ahmad (2020), Gold-oil-exchange rate volatility, Bombay stock exchange and global financial contagion 2008: Application of NARDL model with dynamic multipliers for evidences beyond symmetry, Cogent Business & Management, No.7(1), pp. 1849889.
Ayadi Ahmed, Marjène Gana, Stéphane Goutte and Khaled Guesmi (2021), Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS, International Review of Economics & Finance, No.76, pp. 376-423.
Bahloul Slah, Mourad Mroua and Nader Naifar (2023), Re-evaluating the hedge and safe-haven properties of Islamic indexes, gold and Bitcoin: evidence from DCC–GARCH and quantile models, Journal of Islamic Accounting and Business Research.
Bouoiyour Jamal, Refk Selmi, Aviral Tiwari and Olaolu Olayeni (2015), What determines Bitcoin's value?
Bouoiyour Jamal, Refk Selmi and Mark Wohar (2019), Bitcoin: competitor or complement to gold?, Economics Bulletin.
Bouri Elie, Peter Molnár, Georges Azzi, David Roubaud and Lars Ivar Hagfors (2017), On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?, Finance Research Letters, No.20, pp. 192-198.
Budiarso Novi Swandari and Winston Pontoh (2023), The preference of Bitcoin and stocks in Indonesia, The Contrarian : Finance, Accounting, and Business Research,No.1(2), pp. 54-60.
Calvo Guillermo (1999), Contagion in Emerging Markets: When Wall Street Is a Carrier, Winter Camp in International Finance, AEA 1999 New York Meetings.
Chan Jireh Yi-Le, Seuk Wai Phoong, Seuk Yen Phoong, Wai Khuen Cheng and Yen-Lin Chen (2023), The Bitcoin Halving Cycle Volatility Dynamics and Safe Haven-Hedge Properties: A MSGARCH Approach, Mathematics, No.11(3), pp. 698.
Conlon Thomas and Richard McGee (2020), Safe haven or risky hazard? Bitcoin during the Covid-19 bear market, Finance Research Letters, No.35, pp. 101607.
Corsetti Giancarlo, Paolo Pesenti and Nouriel Roubini (1999), What caused the Asian currency and financial crisis?, Japan and the World Economy, No.11(3), pp. 305-373.
Corsetti Giancarlo, Marcello Pericoli and Massimo Sbracia (2005), ‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion, Journal of International Money and Finance, No.24(8), pp. 1177-1199.
Đang Vuong Anh (2018), The impact of cryptocurrency on financial markets, currencies, and finance, [Access onn 20/08 2022], from:
Dorfleitner Gregor and Carina Lung (2018), Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect, Journal of Asset Management, No.19(7), pp. 472-494.
Elsayed Ahmed, Giray Gozgor and Chi Keung Lau (2021), Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties, International Review of Financial Analysis, No.81.
Fabris Nikola and Milutin Jesic (2023), Are Gold and Bitcoin a Safe Haven for European Indices?, Journal of Central Banking Theory and Practice, No.12, pp. 27-44.
Gerlach Stefan and Frank Smets (1994), Contagious speculative attacks, Bank for International Settlements.
Goldstein Morris, Graciela Kaminsky and Carmen Reinhart (2000), Assessing Financial Vulnerability: An Early Warning System for Emerging Markets,
Gulled Abdirahman, Jakaria Hossain and Henrik Höglund (2018), 'Bitcoins Challenge to the Financial Institutions A qualitative study of how Bitcoin technology affects the traditional transaction system'.
Ha Le Thanh and Nguyen Thi Hong Nham (2022), An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis, Technological Forecasting and Social Change, No.183, pp. 121909.
Hussain Nazakat and Imran Riaz (2019), CONTAGION AND INTERDEPENDENCE AMONG GOLD, OIL, FOREX, AND ASIAN EMERGING EQUITY MARKETS.
Huynh Toan Luu Duc, Muhammad Ali Nasir, Xuan Vinh Vo and Thong Trung Nguyen (2020), “Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet, The North American Journal of Economics and Finance, No.54, pp. 101277.
Jiahong Li and Ping Li (2022), Volatility Spillovers between Bitcoin and Chinese Economic and Financial Markets, SSRN.
Jo Hoje, Haehean Park and Hersh Shefrin (2020), Bitcoin and sentiment, Journal of Futures Markets, No.40.
Kamran Muhammad, Pakeezah Butt, Assim Abdel-Razzaq and Hadrian Geri Djajadikerta (2022), Is Bitcoin a safe haven? Application of FinTech to safeguard Australian stock markets, Studies in Economics and Finance, No.39(3), pp. 386-402.
Khan Aftab, Sarkar Kabir, Omar Bashar and Mansur Masih (2015), TIME VARYING CORRELATION BETWEEN ISLAMIC EQUITY AND COMMODITY RETURNS: IMPLICATIONS FOR PORTFOLIO DIVERSIFICATION, The Journal of Developing Areas, No.49, pp. 115-128.
Khan Aftab and Mansur Masih (2021), Do Islamic stocks and commodity markets comove at different investment horizons - evidence from wavelet time-frequency approach,
Khanh Quoc Nguyen (2022), The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods, Finance Research Letters, No.46, pp. 102284.
Kocaarslan Baris, Ugur Soytas, Ramazan Sari and Ecenur Ugurlu (2019), The Changing Role of Financial Stress, Oil Price, and Gold Price in Financial Contagion among US and BRIC Markets, International Review of Finance, No.19(3), pp. 541-574.
Koutmos Dimitrios (2022), Investor sentiment and bitcoin prices, Review of Quantitative Finance and Accounting, No.60.
Kumamoto Masao and Juanjuan Zhuo (2021), Hedge and safe haven status of Bitcoin: copula-DCC approach, Economics Bulletin, No.41(1), pp. 125-136.
Moritz Holtmeier and Philipp Sandner (2019), The impact of crypto currencies on developing countries, Frankfurt School of Finance & Management gGmbH.
Nada Choueiri, Anne-Marie Gulde-Wolf and Tara Iyer (2022), Crypto is More in Step With Asia’s Equities, Highlighting Need for Regulation, [Accessed on 22/08 2022], from:
Naifar Nader and Sohale Altamimi (2023), Asymmetric impact of investor sentiment and media coverage news on bitcoin returns, Managerial Finance.
Nguyen Kieu Giang and Youkyung Lee (2021), Tesla and Bitcoin to Blame for Exodus From Vietnam’s Stocks, [Accessed on 22/08 2022], from:
Panagiotidis Theodore, Thanasis Stengos and Orestis Vravosinos (2019), The effects of markets, uncertainty and search intensity on bitcoin returns, International Review of Financial Analysis, No.63, pp. 220-242.
Sami Mina and Wael Abdallah (2021), How does the cryptocurrency market affect the stock market performance in the MENA region?, Journal of Economic and Administrative Sciences, No.37(4), pp. 741-753.
Smales L. A. (2019), Bitcoin as a safe haven: Is it even worth considering?, Finance Research Letters, No.30, pp. 385-393.
Srokosz Witold and Tomasz Kopyscianski (2015), Legal And Economic Analysis Of The Cryptocurrencies Impact On The Financial System Stability, Journal of Teaching and Education,No.4, pp. 619-627.
Thai Hung Ngo (2021), ’BITCOIN AND CEE STOCK MARKETS: FRESH EVIDENCE FROM USING THE DECO-GARCH MODEL AND QUANTILE ON QUANTILE REGRESSIONEuropean Journal of Management and Business Economics.
Thai Hung Ngo (2022), Asymmetric connectedness among S&P 500, crude oil, gold and Bitcoin, Managerial Finance.
To Trung‐Thanh, Le Ha, Thi Nguyen and Ngoc Anh Tran (2022), An Application of a TVP-VAR Extended Joint Connected Approach to Investigate Dynamic Spillover Interrelations of Cryptocurrency and Stock Market in Vietnam, Journal of International Commerce, Economics and Policy, No. 14.
Tobias Adrian and Tommaso Mancini Griffoli (2019), The Rise of Digital Money, IMF, 9781498324908/2664-5912, IMF.
Tran Thi Xuan Anh and Ngo Thi Hang (2020), Current status and trends in cryptocurrency development in Vietnam - some policy recommendations, Journal of international economics and management, Foreign Trade University.
Yatie Alhonita (2022), Crypto-assets better safe-havens than Gold during Covid-19: The case of European indices.
Zhang Lei, Marcus Miller and Kannika Thampanishvong (2003), Learning to Forget? Contagion and Political Risk in Brazil, Royal Economic Society Annual Conference 2003 No. 3785.