Cryptocurrency has gained increasing prominence in the recent past with its increased integration with established financial markets like stock markets, currency markets and so on. This study examines the integration of cryptocurrency and the Indian stock market. By employing time-varying parameter-vector autoregression (TVP-VAR), the study analyses the daily closing data of Sensex, Nifty 50, Bitcoin and Ethereum over a 41-month period from 1st April 2020 to 31st August 2023 to find out the total connectedness, pairwise connectedness and to identify the net receivers and transmitters. The findings reveal a moderate unidirectional transmission from the cryptocurrency market to the stock market, thereby confirming cryptocurrencies as net transmitters and stock market indices as net receivers. This study is of relevance to policymakers in devising an appropriate cryptocurrency regulatory framework and to investors in designing better portfolios.
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