Qianying Zhang

Based on asset pricing theory, we posit and find that equity markets and cryptocurrency markets share a common fundamental. Our cointegration tests show that the most important asset pricing primitive, consumption, can serve as the common fundamental. We further show that additional macroeconomic factors, as well as uncertainty and sentiment, all play a role in explaining the deviation from fundamentals. To understand the linkage between equity markets, cryptocurrency markets, and the macroeconomy, we suggest the following three channels: (i) portfolio allocation decisions, (ii) intermarket order flows, and (iii) technological adaption expectations