Title: A comparative study of predicted returns of cryptocurrencies and equity market: a study in India

Authors: Dipanwita Majumder; Somnath Banerjee

Addresses: Department of Commerce, St. Xavier's University, Action Area III, Newtown, Kolkata, West Bengal, 700160, India ' Department of Commerce, St. Xavier's University, Action Area III, Newtown, Kolkata, West Bengal, 700160, India

Abstract: Among cryptocurrencies, Bitcoin is viewed as a safe investment during economic crises (Corbet et al., 2020). The global adoption of cryptocurrencies has increased with new regulations (Goundar et al., 2021). Yalamati (2023) identified a negative relationship between the equity and cryptocurrency markets, while others found positive connections. This paper explores the predicted returns of Bitcoin, Ethereum, Ripple, and Tether with the Nifty50 from 2017-2023. We applied the Auto Regressive Moving Average (ARMA) model for predicted returns and ARCH (Auto Regressive Conditional Heteroscedasticity) and Generalised Autoregressive Conditional Heteroscedasticity (GARCH) for volatility. Our findings indicate that cryptocurrencies generally offer significantly higher predicted returns than Nifty50, with Ripple yielding the highest incremental return, followed by Ethereum and Bitcoin. Tether had lower returns but higher stability. The results suggest investors could benefit from including cryptocurrencies in their asset portfolios based on informed decisions.

Keywords: Nifty50; ARMA; Auto Regressive Moving Average; ARCH; Autoregressive Conditional Heteroscedasticity; GARCH; Generalised Autoregressive Conditional Heteroscedasticity; Bitcoin; Ethereum; Ripple; Tether.

DOI: 10.1504/IJBC.2025.144640

International Journal of Blockchains and Cryptocurrencies, 2025 Vol.6 No.1, pp.1 - 17

Received: 10 Jun 2024
Accepted: 28 Sep 2024
Published online: 25 Feb 2025 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article