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Exploring connectedness among cryptocurrency, technology communication, and FinTech through dynamic and fractal analysis

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  • Assaf, Ata
  • Demir, Ender
  • Mokni, Khaled

Abstract

This study explores the dynamic connectedness and multivariate connectivity among Bitcoin, Innovative Technology Communication (ITC), and FinTech indices. Using TVP-VAR model and wavelet-based multivariate long-memory approach., we find that Bitcoin contributes/receives a low level of shocks from these sectors. The evidence suggests that Bitcoin is not connected much with these two sectors and their variations are mostly driven by idiosyncratic factors. Then, obtaining the fractal connectivity clustering provides new evidence of a similarity in fractal dynamic among the FinTech and Innovative Technology sectors, while Bitcoin is clustered away from the two sectors. When we use Ethereum, in place of Bitcoin, the results are identical. Finally, we document the role of various risk factors on the connectedness.

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  • Assaf, Ata & Demir, Ender & Mokni, Khaled, 2024. "Exploring connectedness among cryptocurrency, technology communication, and FinTech through dynamic and fractal analysis," Finance Research Letters, Elsevier, vol. 63(C).
    • Handle: RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324002903
    DOI: 10.1016/j.frl.2024.105260
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    More about this item

    Keywords

    Bitcoin; FinTech; Ethereum; Fractal connectivity; TVP-VAR;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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