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

被引：2
|
作者：
Li, Xingyi [1 ,2 ]
Gan, Kai [1 ]
Zhou, Qi [3 ,4 ]
机构：
[1] Sun Yat sen Univ, Sch Business, 135 Xingang Rd West, Guangzhou 510275, Peoples R China
[2] Swiss Fed Inst Technol, Dept MTEC, Scheuchzerstr 7, CH-8092 Zurich, Switzerland
[3] South China Univ Technol, Sch Business Adm, 381 Wushan Rd, Guangzhou 510641, Peoples R China
[4] South China Univ Technol, Guangzhou Financial Serv Innovat & Risk Management, 381 Wushan Rd, Guangzhou 510641, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 51卷
基金：
中国国家自然科学基金;
关键词：
Cryptocurrencies; Volatility connectedness; TVP-VAR model; COVID-19; outbreak; IMPULSE-RESPONSE ANALYSIS; SAFE HAVEN; BITCOIN; SPILLOVERS; RETURN; HEDGE; MARKET;
D O I：
10.1016/j.frl.2022.103476
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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).
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页数：10
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