Triangle of Cryptocurrency, Stock, and Gold Markets

This study aims to understand the relationship among cryptocurrency, stock, and gold markets. Cointegration, structured VAR, and causality tests were used with daily datasets from 11/09/2017 to 11/17/2023. A cryptocurrency basket is accepted as the cryptocurrency market for this study. The stock markets have a one-way relationship both with the gold and cryptocurrency markets in the short-run. All markets have effects on other markets’ price variances, as well. The price shocks of the markets to each other are not so essential for the prices. However, their own price shocks impact their prices for a few days. The stock market has asymmetric relationships with the gold and cryptocurrency markets. A 1.00 % rise in stock price causes declines in the gold and cryptocurrency prices by 2.35% and 2.42%, respectively. If the gold market or stock market is ignored, a 1.00% rise in gold prices causes a 0.69% rise in cryptocurrency prices, or a 1.00% rise in stock prices raises the cryptocurrency prices by 4.03%.