Givers or Receivers? Return and volatility spillovers between Fintech and the Traditional Financial Industry

被引：36

作者：

Chen, Yuxuan ^{[1
]}

Chiu, Junmao ^{[2
]}

Chung, Huimin ^{[1
]}

机构：

[1] Natl Yang Ming Chiao Tung Univ, Dept Informat Management & Finance, Hsinchu, Taiwan

[2] Natl Sun Yat Sen Univ, Dept Finance, 70 Lien Hai Rd, Kaohsiung 80424, Taiwan

来源：

FINANCE RESEARCH LETTERS | 2022年 / 46卷

关键词：

Fintech; financial markets spillovers; connectedness; STOCK MARKETS; VARIANCE;

D O I：

10.1016/j.frl.2021.102458

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the return and volatility spillovers between a Fintech ETF and the ETFs of the traditional financial industry with an empirical network model. We find that the traditional financial ETFs are still the main givers, and the Fintech ETF is the net receiver. The Fintech ETF does not lead to greater volatility and financial instability in most of the traditional financial sectors. The information transmission between these ETFs is high, especially during the period of US-China trade friction. Our results provide a full understanding of the effect of changes in information transmission between Fintech and the traditional financial industry.

引用

页数：11

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