Relationship between Bitcoin and ASEAN-6 foreign exchange rate markets

Abstract

This study highlights the nexus between Bitcoin and foreign exchange markets in ASEAN-6 countries, including Vietnam, Thailand, Singapore, Indonesia, Malaysia, and Philippines, from 2018 to 2023, utilizing the spillover index and the spectral Granger causality test. The findings indicate that Bitcoin and the foreign exchange markets co-moved over time, and the connectedness between the markets increased significantly during the COVID-19 pandemic, the European energy crisis, and global inflation in 2023. The total spillover index reaches 13.4%, suggesting the connection between market returns is relatively low. Indonesia, Thailand, Vietnam, and Thailand are receivers, while Bitcoin, Malaysia, the Philippines, and Singapore are transmitters. The results of the Granger test illustrate that there exists a one-way causality running from Bitcoin to Malaysia, Vietnam, Thailand, from the Philippines to Bitcoin, and a two-way association between Indonesia and Bitcoin in the medium and long term and Singapore and Bitcoin in the long term. These results are valuable information for investors, stakeholders, and policymakers to stabilize the foreign exchange market.