The asymmetric contagion effect between stock market and cryptocurrency market

【Author】 Wang, Hao; Wang, Xiaoqian; Yin, Siyuan; Ji, Hao

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This paper studies asymmetric contagion effects between stock and cryptocurrency markets. We implement the time-varying symmetrized Joe-Clayton copula GARCH model and Bai-Perron breakpoint test to explore dynamic correlations between the daily log-returns of the two markets in each time range. The asymmetric contagion effects between the two markets are studied using the non-linear Granger causality test. We also find that the lower tail dependences are more significant than the upper ones. Our findings can be used as a reference for supervisory authorities, and also provide insights on risk hedging for rational investors to avoid underestimating risk when building their portfolios.

【Keywords】Asymmetric contagion effect; Cryptocurrency market; Stock market; Time-varying SJC-Copula-GARCH model; Nonlinear Granger causality test

【发表时间】2022 MAY

【收录时间】2022-07-10

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-市场分析