Abstract
ABSTRACT The current study analyses five major cryptocurrencies and four global stock markets to explore the hedging, safe haven and diversification roles of cryptocurrencies by employing ADCC-GARCH and Wavelet Coherence Technique. The study has found that stock and cryptocurrency markets return have high volatility persistence in the long run and confirms the bi-directional volatility transmission. Also, the hedging capacity of digital currencies varies depending on market choice. Tether operates as the most effective diversifier for all studied stock indices and is a strong safe haven asset during market turmoil. It is also documented that majority of cryptocurrencies cannot offer diversification advantages.
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