Analysis of the Synchronization of the Cryptocurrency and Stock Market on the Example of the Moscow Stock Exchange

Currently, public attention is focused on cryptocurrencies. Investors are increasingly including them in their asset portfolio. While many studies are being conducted in developed countries on the relationship between the cryptocurrency and the stock market, this issue is still relevant in developing countries. Therefore, it will be useful to study the relationship between cryptocurrency and the stock market in a developing country - Russia. This scientific study analyzes the synchronization between 7 cryptocurrencies with the largest capitalization and the Russian stock market, represented by the Moscow Stock Exchange index (IMOEX). The analysis allowed us to track the dynamics of the relationship between assets and assess the strength of the volatility spillover effect. Thus, we came to the conclusion that in Russia, unlike in developed countries, there is no pronounced dependence between the cryptocurrency markets and the stock market. As well as an assessment of the dynamics of the volatility spillover, it allowed us to refute the hypothesis of the International Monetary Fund about the destabilization of the national economy of Russia as a developing country.