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<p>The increasing integration of cryptocurrencies with traditional financial systems has intensified interest in understanding cryptocurrency-equity market interdependence, particularly during periods of financial uncertainty and market stress. However, existing studies provide fragmented and inconclusive evidence due to regional differences, methodological heterogeneity, and crisis-specific analyses, while most prior research examines either static or dynamic relationships independently. To address this gap, the present study develops a unified two-stage analytical framework integrating meta-analysis and wavelet coherence analysis. Specifically, the substantial heterogeneity identified in the meta-analysis informs the wavelet coherence stage by motivating the examination of regional and time-frequency variations in cryptocurrency-equity relationships. The study first synthesizes evidence from 40 empirical studies published between 2019 and 2024 to estimate the overall magnitude and heterogeneity of cryptocurrency-equity interdependence. The findings reveal significant positive interdependence (COR = 0.22, 95% CI: 0.15–0.29, <i>p</i> &lt; 0.001) and extremely high heterogeneity (I²=99.55%), primarily driven by differences across regions, methodologies, and crisis periods. Building upon these findings, wavelet coherence analysis investigates the dynamic relationship between Bitcoin, Ethereum, and major regional equity indices across global markets. The results show stronger coherence during financial crises, more persistent integration in developed markets, and relatively stronger equity market coherence for Ethereum than Bitcoin. The study contributes by integrating static evidence synthesis with dynamic time-frequency validation within a single framework and provides important implications for portfolio diversification, systemic risk monitoring, and macroprudential financial regulation.</p>

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Static and dynamic interdependence between cryptocurrencies and equity markets: a meta-analytic and wavelet coherence approach

  • 期刊论文

  • 发表日期：

    2026年6月15日

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  • Vansh Bathla,
  • Karam Pal Narwal

摘要

The increasing integration of cryptocurrencies with traditional financial systems has intensified interest in understanding cryptocurrency-equity market interdependence, particularly during periods of financial uncertainty and market stress. However, existing studies provide fragmented and inconclusive evidence due to regional differences, methodological heterogeneity, and crisis-specific analyses, while most prior research examines either static or dynamic relationships independently. To address this gap, the present study develops a unified two-stage analytical framework integrating meta-analysis and wavelet coherence analysis. Specifically, the substantial heterogeneity identified in the meta-analysis informs the wavelet coherence stage by motivating the examination of regional and time-frequency variations in cryptocurrency-equity relationships. The study first synthesizes evidence from 40 empirical studies published between 2019 and 2024 to estimate the overall magnitude and heterogeneity of cryptocurrency-equity interdependence. The findings reveal significant positive interdependence (COR = 0.22, 95% CI: 0.15–0.29, p < 0.001) and extremely high heterogeneity (I²=99.55%), primarily driven by differences across regions, methodologies, and crisis periods. Building upon these findings, wavelet coherence analysis investigates the dynamic relationship between Bitcoin, Ethereum, and major regional equity indices across global markets. The results show stronger coherence during financial crises, more persistent integration in developed markets, and relatively stronger equity market coherence for Ethereum than Bitcoin. The study contributes by integrating static evidence synthesis with dynamic time-frequency validation within a single framework and provides important implications for portfolio diversification, systemic risk monitoring, and macroprudential financial regulation.