Bibliographic citations
Velarde, A., (2024). Impacto del spillover de la volatilidad de las principales criptomonedas sobre el Índice Bursátil S&P/BVL durante el periodo 2017 - 2023 [Trabajo de investigación, Universidad Peruana de Ciencias Aplicadas (UPC)]. http://hdl.handle.net/10757/684070
Velarde, A., Impacto del spillover de la volatilidad de las principales criptomonedas sobre el Índice Bursátil S&P/BVL durante el periodo 2017 - 2023 [Trabajo de investigación]. PE: Universidad Peruana de Ciencias Aplicadas (UPC); 2024. http://hdl.handle.net/10757/684070
@misc{renati/1668471,
title = "Impacto del spillover de la volatilidad de las principales criptomonedas sobre el Índice Bursátil S&P/BVL durante el periodo 2017 - 2023",
author = "Velarde Astete, Adolfo Rafael",
publisher = "Universidad Peruana de Ciencias Aplicadas (UPC)",
year = "2024"
}
This study investigates the impact of volatility spillovers from major cryptocurrencies on the S&P/BVL stock index between 2017 and 2023. As cryptocurrencies have gained popularity, their connection with traditional financial markets has drawn the attention of investors and academics. Using a GARCH model and the CAPM, the volatility relationship between cryptocurrencies like Bitcoin, Ethereum, Tether, and BNB with the S&P/BVL index is analyzed. Preliminary results suggest that, although Bitcoin is the largest cryptocurrency, Ethereum and Tether have a greater impact on volatility transmission to the index. This study contributes to the literature on the interrelationship between cryptocurrencies and traditional financial markets.
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