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

【Author】 Li, Zhenghui; Mo, Bin; Nie, He

【Source】INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

【影响因子】3.399

【Abstract】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.

【Keywords】Time and frequency connectedness; Cryptocurrencies; Financial assets; COVID-19

【发表时间】2023 JUL

【收录时间】2023-04-12

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币