IJOEM the liquidity of conventional financial assets is diminished, and there is a high degree of

20,8 correlation among them. During periods of instability, Baur and Lucey (2010) have shown
that government bonds and gold are seen as safe haven investments owing to their inverse or
zero relationship with equities. Notably, recent scholarly investigations on diversification,
hedges, and safe haven have posited that the risk diversification and hedging characteristics
of financial assets are time-varying. Most commonly used financial assets, generally
employed as diversifiers, hedges, and safe havens, have proven ineffective in maintaining
3230 their intended purpose and have seen unanticipated price volatility (Yousaf et al., 2023).
In the time mentioned above, cryptocurrencies have emerged as a burgeoning digital
financial asset, garnering significant attention from investors, portfolio managers,
regulators, and researchers. It has seen explosive growth due to the increasing attention it
has garnered (Arsi et al., 2021; Cao and Xie, 2022). As of 30th September 2023, the number of
cryptocurrencies in existence exceeds 1.8 million, collectively having a market capitalisation
of $1,080 billion. Furthermore, these cryptocurrencies are traded daily at a value exceeding
$35 billion across 667 global exchanges (CoinMarketCap, 2023). The vast market
capitalisation and daily transaction volume of cryptocurrency render it a noteworthy
financial market with considerable importance within the contemporary financial landscape.
Simultaneously, the cryptocurrency trend has developed rapidly, emerging as an alternative
financial instrument that facilitates peer-to-peer electronic payments and operates on a
decentralised framework (Bejaoui et al., 2023). The early studies indicate that
cryptocurrencies are detached from conventional financial assets, such as gold, bonds, and
shares (Corbet et al., 2018; Aslanidis et al., 2019; Omane-Adjepong and Alagidede, 2020).
However, the current literature about cryptocurrencies’ hedging, safe haven, and
diversification qualities yields ambiguous findings that seem to exhibit time variation. The
study by Tan et al. (2023) demonstrates the use of cryptocurrency as a hedge in Asian stock
markets. Similarly, Jiang et al. (2021) have shown that cryptocurrency has diversification and
hedging capabilities inside stock markets. Jana and Sahu (2023a) and Riahi et al. (2024) have
indicated that during periods of economic unrest, stablecoins serve as a safe haven, whereas
unstable cryptocurrencies function as effective portfolio diversifiers. Nevertheless, many
scholarly investigations conducted by Aslanidis et al. (2019), Conlon and McGee (2020), and Li
and Miu (2023) have yielded results indicating that cryptocurrency cannot function as a
diversification tool or a safe haven asset in the realm of stock markets.
India, renowned as the biggest democracy, has the status of being the fastest-growing
economy globally. Also, India has recently achieved fifth position in the world economic
rankings, boasting a nominal GDP of $3,530 billion. Accordingly, the Indian equities market
has seen rapid growth and has emerged as the fifth biggest stock market worldwide, with a
market capitalisation of $3,310 billion (Sonavane, 2023). According to Tiwari (2023), the
number of individual investors in the Indian stock market has significantly increased,
reaching a record high of 80 million, with the latest 10 million additions taking place in just
eight months. However, during the COVID-19 pandemic, the Sensex and Nifty 50, which are
prominent indices in the Indian equities market, had a significant decline of around 12.98 and
13.15%, respectively (Reuters, 2020). Simultaneously, there has been a substantial surge in
cryptocurrency trading inside the Indian market. According to Chainalysis’s 2021 Global
Crypto Adoption Index, India is in second place globally. This report highlights the
significant surge in cryptocurrency ownership among Indian investors from July 2020 to June
2021, with a remarkable growth rate of over 600%, reaching an impressive sum of $40 billion.
Therefore, the first objective of this study is to investigate the interaction between the
Indian stock market and cryptocurrencies (“Bitcoin, Ethereum, Dogecoin, and Cardano”)
within the time and frequency domains, considering both regular periods and times of crises
(“the COVID-19 pandemic and the Russo-Ukrainian war”). The second study aims to assess
the potential of cryptocurrencies in terms of hedging, diversification, and serving as a safe

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