This study investigates the interconnectedness between cryptocurrency and the Indian stock market and explores the diversification, hedge, and safe haven potential of cryptocurrency. The study employs the wavelet approach on daily data from October 6, 2017, to October 5, 2022, to execute the empirical analysis. The findings confirm that, in a healthy economic environment, cryptocurrencies are not connected with the Indian stock market. However, during times of financial turmoil, Bitcoin, Ethereum, and Cardano are positively correlated with the stock market. Additionally, the study identifies Bitcoin, Ethereum, Dogecoin, and Cardano as competent in providing diversification, or hedge opportunities in normal economic situations. But during periods of financial stress, only Dogecoin may act as a safe haven asset. This is the first study to explore the time-varying correlations and causal dependencies between the stock and cryptocurrency markets in India using the wavelet approach. It extends the literature in finance by examining both normal and economic turmoil periods, providing insights for portfolio managers, policymakers, and investors on how to manage their portfolios during these periods.

本研究调查了加密货币与印度股市之间的相互关联性，并探讨了加密货币的多元化、对冲和避险潜力。该研究采用小波方法对2017年10月6日至2022年10月5日的每日数据进行实证分析。调查结果证实，在健康的经济环境中，加密货币与印度股市没有联系。然而，在金融动荡时期，比特币、以太坊和卡尔达诺与股市呈正相关。此外，该研究还认为比特币、以太坊、狗狗币和卡尔达诺有能力在正常经济情况下提供多元化或对冲机会。但在金融压力时期，只有狗狗币可以充当避险资产。这是第一项使用小波方法探索印度股票和加密货币市场之间随时间变化的相关性和因果依赖性的研究。它通过研究正常时期和经济动荡时期来扩展金融文献，为投资组合经理、政策制定者和投资者提供有关如何在这些时期管理其投资组合的见解。