Dynamic volatility connectedness among cryptocurrencies and China's financial assets in standard times and during the COVID-19 pandemic

【Author】 Li, Xingyi; Gan, Kai; Zhou, Qi

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】In this paper, we use the time-varying parameter vector autoregressions (TVP-VAR) model to examine volatility connectedness among 5 cryptocurrencies and 5 China's financial assets in static and dynamic scenarios. We find that the dynamic total connectedness of the system exhibits large dynamic variability. When the total connectedness breaks through 50%, it will move down rapidly. Ethereum and Litecoin are increasing their influence, whereas Bitcoin is losing its leadership. The impact of the cryptocurrency market on China's financial market has become very small since 2022Q1. Furthermore, the COVID-19 outbreak has a long-term (short-term) impact on the gold market (the other markets).

【Keywords】Cryptocurrencies; Volatility connectedness; TVP-VAR model; COVID-19 outbreak

【发表时间】2023 JAN

【收录时间】2022-12-08

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析