Asymmetry and conduction direction of the interdependent structure between cryptocurrency and US dollar, renminbi, and gold markets

【Author】 Cao, Guangxi; Ling, Meijun

【Source】CHAOS SOLITONS & FRACTALS

【影响因子】9.922

【Abstract】The risk conduction mechanism between a cryptocurrency and the US dollar (USD), the renminbi (RMB), and gold markets is helpful for investors' risk management. Based on the non-linearity and asymmetry of the correlation between the fractal market hypothesis and the financial market, this study uses asym-metric multifractal cross-correlation analysis to study the correlation between a cryptocurrency and USD, RMB, and gold markets. First, using the MF-ADCCA method, an obvious asymmetric cross-correlation is found between a cryptocurrency and USD, RMB, and gold markets. USD, RMB, and gold markets are more effective than cryptocurrency markets. In particular, the impact of the RMB market on the cryptocurrency market is the largest among USD, RMB, and gold. When USD and RMB are rising, the risk conduction to cryptocurrencies is more significant. When gold is falling, the risk conduction to cryptocurrencies is more significant. When cryptocurrencies are falling, the risk conduction to USD is more significant. Among cryptocurrencies, Bitcoin, Ethereum, Litecoin, and New Economic Coin have more significant risk conduc-tion to RMB when it falls. Through the DMF-ADCCA method, a two-way asymmetric conduction effect is found between the lagging cryptocurrency and the USD, RMB, and gold markets. Compared with USD and gold, the risk correlation and conduction between RMB and cryptocurrency are the highest. Prevent -ing and controlling the risk impact of cryptocurrency on the RMB and further strengthening the research between cryptocurrency and the RMB are crucial to the internationalization of the RMB and the improve-ment of international competitiveness. (c) 2021 Elsevier Ltd. All rights reserved.

【Keywords】Asymmetric; Cryptocurrency; Multifractal; Risk conduction

【发表时间】2022 FEB

【收录时间】2022-04-27

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-