The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China's financial market

【Author】 Cao, Guangxi; Xie, Wenhao

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】By taking Bitcoin, Litecoin, and China's gold and RMB/US dollar exchange rate market as research objects, this paper apply the MF-ADCCA and time-delayed DCCA methods to study the impact of China's mainland shutdown of cryptocurrencies trading on the non-linear interdependent structure and risk transmission of cryptocurrencies and its financial market. Empirical results show that the cross-correlation between cryptocurrencies and China's financial market has a long memory and asymmetric multifractal characteristics. After the shutdown, the long memory between cryptocurrencies and Chinese gold has weakened, and the long memory between cryptocurrencies and the RMB/US dollar exchange rate market was strengthened. China's shutdown policy has a certain risk prevention effect. Specifically, after the implementation of the policy, the risk transmission of cryptocurrencies to China's financial market has weakened, but the influence of China's financial market has gradually strengthened.

【Keywords】Cryptocurrencies; Asymmetry interdependence; Multifractal; Risk transmission; Policy effect

【发表时间】2021 NOV

【收录时间】2022-01-01

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