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All Journal International Journal of Electrical and Computer Engineering
Chanaim, Somsak
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Computer Science & IT Electrical & Electronics Engineering

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Correlation between capital markets and cryptocurrency: impact of the coronavirus Ariya, Kanyawut; Chanaim, Somsak; Dawod, Ahmad Yahya
International Journal of Electrical and Computer Engineering (IJECE) Vol 13, No 6: December 2023
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11591/ijece.v13i6.pp6637-6645

Abstract

The objective of the study is to use daily Thai data analysis to strengthen correlations between Bitcoin and conventional asset measurements. The most popular asset prices and indices include gold, oil, the SET50 index, Bitcoin (BTC), Ethereum (ETH), Litecoin (LTC), Ripple (XRP), Dashcoin (DASH), Stellar Lumens (XLM), Binance coin (BNB), and Dogecoin (DOGE). We find a significant correlation between cryptocurrencies and the digital economy using a matrix approach to the Pearson correlation coefficient. With the help of a minimal spanning tree model and random matrix theory, we can determine the shortest route between assets. Yet, as predicted, only a small percentage of the greatest eigenvalues diverge. We are also developing a novel technique to find the SET-50 index. In an investment portfolio during the coronavirus period, alternatives to the gold price and the DOGE may offer possibilities for risk diversification.
Co-Authors Ariya, Kanyawut Dawod, Ahmad Yahya