On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia

【Author】 Frankovic, Jozo; Liu, Bin; Suardi, Sandy

【Source】GLOBAL FINANCE JOURNAL

【影响因子】2.853

【Abstract】This paper categorizes Australian listed cryptocurrency-linked stocks (CLS) by their involvement as a user, developer and diffuser, and investor of blockchain technology and cryptocurrencies based on company announcements and published information on the company websites. By distinguishing CLS engagement with blockchain technology, we examine their returns and volatility spillover with the cryptocurrency market over the period 1 September 2017 to 7 June 2018, spanning important episodes and dynamics in the cryptocurrency market in 2017-2018, and the emergence of Australian CLS. Utilizing the Diebold and Yilmaz (2012) spillover methodology, we find significant unidirectional return spillover and weak volatility spillover from the cryptocurrency market to CLS, after controlling return dynamics of the Australian dollar, Gold and commodity. However, CLS with high involvement in blockchain technology displays stronger connectedness to the cryptocurrency market through return spillover relative to low involvement CLS. Our findings indicate that investors incorporate the price dynamics of cryptocurrencies into their trading decisions for CLS.

【Keywords】Cryptocurrency; Cryptocurrency-linked stocks; Returns spillover

【发表时间】2022 NOV

【收录时间】2023-05-01

【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