التكامل الاقتصادي
Volume 14, Numéro 2, Pages 315-334
2026-06-12
Time-varying Dependence And Contagion Between Bitcoin And Major Equity Indices: Evidence From Dcc-garch Models
Authors : Benhalima Abdelkader Aziz .
Abstract
This study examines the time-varying dependence and contagion dynamics between Bitcoin and major equity indices (S&P 500, FTSE 100, DAX 40, and Nikkei 225) over the period 2014–2025. Using daily return data, a Dynamic Conditional Correlation GARCH (DCC-GARCH) framework is employed to jointly model conditional volatility and evolving correlations across different market regimes. The results show that Bitcoin exhibits exceptionally high volatility and strong persistence, consistent with an IGARCH-type process. Dynamic correlations between Bitcoin and equity markets are highly unstable, remaining low or occasionally negative during tranquil periods, but increasing markedly during episodes of financial stress, particularly during the COVID-19 crisis and the 2022 monetary tightening cycle. However, heteroskedasticity-adjusted contagion tests following Forbes and Rigobon (2002) indicate that the rise in correlations during crises reflects increased market interdependence rather than pure contagion. Overall, the findings suggest that Bitcoin may offer diversification benefits in normal times, but fails to serve as a hedge or safe haven during periods of systemic turmoil, with important implications for portfolio management and financial stability.
Keywords
Bitcoin ; DCC-GARCH ; Dynamic Correlation ; Financial Contagion ; Equity Markets
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