Abstract
The Stock Exchanges are safe and organized markets for stock and bond trading, which aim to expand the capital of both publicly traded companies and investors. Since 2009, cryptocurrencies have been created, mostly decentralized, registered through blockchain and encryption, which can be a new form of investment and trading. The main purpose of this research is to determine the short and long-term relationships of the main indicators of twenty-one Stock Exchanges and three cryptocurrencies and verify their effects on the financial market. The defined methodology was the VAR/VEC Model that obtained as a result the causality between all the series, which are stationary in the first difference, the VAR indicated the short-term relationship, the cointegration indicated the order for the VEC application, which was explained with the help of IRF and the variance decomposition that indicated the long-term relationship between the series and the possibility of cryptocurrencies' influence in the Stock Exchange series. The Bitcoin cryptocurrency, after the shock's application, indicated to influence the Stock Exchanges for an average time of 16 periods, Litecoin for 15 periods, and Ripple for 16 periods. The time evaluated was 24 periods and proved to be sufficient for the study's definition.
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de Senna, V., Souza, A.M. Impacts of short and long-term between cryptocurrencies and stock exchange indexes. Qual Quant 57, 97–119 (2023). https://doi.org/10.1007/s11135-022-01356-2
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DOI: https://doi.org/10.1007/s11135-022-01356-2