The Nexus between Russian Capital Market and Bitcoin Rouble Exchange Rate

Authors

  • Debesh Bhowmik Lincoln University College,Wisma Lincoln, No. 12-18, Jalan SS 6/12, 47301 Petaling Jaya, Selangor Darul Ehsan, Malaysia.

DOI:

https://doi.org/10.46977apjmt.2022v02i04.004

Keywords:

Bitcoin Rouble Exchange Rate, Dollar Rouble Exchange Rate, MOEX Index, RTX Index, RUONIA of Russia, Moscow Exchange Trade Turn Over, Wavelet Threshold Seasonality, Wavelet Threshold Signal Curve, Cointegration, Short Run Causality, Long Run Causality

Abstract

The paper endeavour to explore the nexus between Bitcoin Rouble exchange rate and the Russian capital market using cointegration and vector error correction analysis taking the capital market indicators namely US Dollar Rouble exchange rate, MOEX index, RTX index, Moscow exchange trade turn over and RUONIA of Russia using daily data from 1/11/2021 to 18/4/2022 as a consequence of post pandemic recovery and sets back from war between Russia and Ukraine. The paper found that the trend line of Bitcoin Rouble rate is cyclical with four phases whose Wavelet threshold signal curve is explosive oscillatory. There are no short run causalities from the indicators of capital market to the Bitcoin Rouble price but there is insignificant and converging cointegrating long run causalities from those indicators where the relation between Bitcoin Rouble and US Dollar Rouble rate and MOEX index are significantly negative and the relation with RTX index is significantly positive. It was evident that there is little significant influence of Bitcoin Rouble pricing on the Russian capital market in the long run.
Key words-Bitcoin Rouble exchange rate, Dollar Rouble exchange rate, MOEX index, RTX index, RUONIA of Russia, Moscow exchange trade turn over, wavelet threshold seasonality, Wavelet threshold signal curve, cointegration, short run causality, long run causality.

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Published

2022-04-01

How to Cite

Debesh Bhowmik. (2022). The Nexus between Russian Capital Market and Bitcoin Rouble Exchange Rate. Asia-Pacific Journal of Management and Technology (AJMT), 2(4), 26-42. https://doi.org/10.46977apjmt.2022v02i04.004