Do different stock indices volatility respond differently to Central bank digital currency signals?

【Author】 Li, Wenjie; Huang, Zimei

【Source】ELECTRONIC RESEARCH ARCHIVE

【影响因子】1.604

【Abstract】Central bank digital currency (CBDC) signals affect the volatility of stock indices in different sectors differently. This paper aims to examine whether the CBDC signal plays a role on the volatility of different stock indices. First, we employ a text analysis to compile the CBDC signal index, which spans from January 4, 2013 to March 16, 2023. Then, based on the mixing frequency data, we construct generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCHMIDAS) models to explore the various impacts of CBDC signal on the volatility of stock indices in different sectors. The findings show the heterogeneous effect of CBDC signals on the volatility of stock indices across different sectors. Furthermore, CBDC signals have a heterogeneous effect on the volatility of stock indices in different sectors for different lag periods.

【Keywords】central bank digital currency signals; stock indices; GARCH-MIDAS model; heterogeneous effect

【发表时间】2023

【收录时间】2023-09-22

【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