The spillover effects of the "Binance Incident" on financial markets: A study based on machine learning approach

被引：1

作者：

Feng, Lingbing ^{[1
,2
,3
]}

Qi, Jiajun ^{[4
]}

Liu, Ye ^{[5
]}

Wang, Wei ^{[6
]}

机构：

[1] Jiangxi Univ Finance & Econ, Sch Stat & Data Sci, Nanchang 330013, Jiangxi, Peoples R China

[2] Jiangxi Univ Finance & Econ, Key Lab Data Sci Finance & Econ, Nanchang 330013, Jiangxi, Peoples R China

[3] Jiangxi Univ Finance & Econ, Res Ctr Financial Dev & Risk Prevent, Nanchang 330013, Jiangxi, Peoples R China

[4] Jiangxi Univ Finance & Econ, Sch Appl Econ, Nanchang 330013, Jiangxi, Peoples R China

[5] Nanjing Univ, Sch Management & Engn, Nanjing 210093, Jiangsu, Peoples R China

[6] Chongqing Univ, Sch Econ & Business Adm, Chongqing 400044, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2025年 / 71卷

基金：

中国国家自然科学基金;

关键词：

Cryptocurrency; Financial markets; Event study; Machine learning; Lasso;

D O I：

10.1016/j.frl.2024.106383

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper analyzes the spillover effects of the "Binance Incident" in the cryptocurrency market on financial markets. We integrate event study with Lasso to predict the normal returns during the event window, which outperforms traditional market models. Based on the new approach, we find positive effects on precious metal markets due to their safe-haven nature. In contrast, energy markets exhibit negative effects due to reduced investor confidence and weaker safe-haven attributes, and fiat currencies show negligible reactions. Finally, we document that the overall impact of the "Binance Incident" on financial markets is negative.

引用

页数：7

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