The researchers at Yildiz Technical University mapped the "information flow" across seven major financial segments. The data included the top ten cryptocurrencies (notably featuring the Ripple-linked $XRP), G10 stock market indices, commodities, tech stocks, and government bond yields.
Traditional financial segments, specifically G10 stock market indices, ten-year government bond yields, and five-year Credit Default Swaps (CDS), are the main transmitters of market signals.
At the same time, cryptocurrencies tend to have a much weaker influence. Tokens like $XRP mainly absorb shocks and follow the trends set by traditional assets, meaning that they act as receivers of signals.
The researchers have found that a major crisis can rapidly scramble market hierarchies. The directional flow of influence can actually reverse during various black swan events.
For example, sovereign risk indicators (like CDS) can suddenly become the leading indicators that drive stock and crypto prices during various crises.
The researchers used a combination of Transfer Entropy and Independent Component Analysis (ICA) to isolate unfiltered relationships between asset classes and filter out all the noise.
The bottom line is that crypto portfolios remain deeply anchored to traditional stocks and bonds, and it does not seem like this is likely to change in the near future.
u.today
