Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China

被引:56
作者
Li, Zhenghui [1 ]
Mo, Bin [1 ]
Nie, He [2 ,3 ]
机构
[1] Guangzhou Univ, Guangzhou Inst Int Finance, Guangzhou 510006, Peoples R China
[2] Wuhan Univ, Sch Econ & Management, Wuhan, Peoples R China
[3] Natl Univ Singapore, Dept Econ, Singapore, Singapore
关键词
Time and frequency connectedness; Cryptocurrencies; Financial assets; COVID-19; CRUDE-OIL; STOCK MARKETS; VOLATILITY CONNECTEDNESS; RETURNS IMPLICATIONS; BITCOIN; COMMODITY; GOLD; INTEGRATION; SPILLOVERS; LINKAGES;
D O I
10.1016/j.iref.2023.01.015
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper explored the connectedness of dynamic time-frequency between cryptocurrencies and traditional financial assets in China using a weekly dataset from September 4, 2015 to March 4, 2022. We found that cryptocurrencies were the primary contributors to the connectedness system and the primary risk sources for traditional financial assets in China. We also found that crypto-currencies were the main net transmitters of dynamic spillovers, while China's traditional financial assets were the primary net receivers. In addition, conventional financial assets were more sharply influenced by cryptocurrencies in the short term because the level of spillovers was more significant than in the long term, and spillover fluctuations were intense during the COVID-19 pandemic. These findings provide empirical support for the Chinese State Council's current policy regarding crackdowns on cryptocurrencies.
引用
收藏
页码:46 / 57
页数:12
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