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Information spillover among cryptocurrency and traditional financial assets: Evidence from complex networks

Author

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  • Yu, Xiaoling
  • Cifuentes-Faura, Javier

Abstract

This study aims to investigate the information spillover among four traditional financial assets (i.e., crude oil, gold, stock, and U.S. dollar) and nine main cryptocurrencies (i.e., Bitcoin, Cardano, Dai, Ripple, Dogecoin, Ethereum, Ethereum Classic, Monero, and Tether), by constructing entropy-based information spillover network and information integration network from both static and dynamic perspectives. The empirical results show that the information spillover among these assets is time-varying, experiencing an obvious increase trend after the COVID-19. As a whole, traditional financial assets mainly play the role of net information transmitter while cryptocurrencies mainly play the role of net information recipient. Tether and Dai are the two main visual coins that can transmit net information flow to traditional assets, while gold and stock are the two main traditional assets that transmit net information flow to cryptocurrencies. Tether and U.S. dollar are the central nodes that link traditional financial assets and cryptocurrencies together.

Suggested Citation

  • Yu, Xiaoling & Cifuentes-Faura, Javier, 2024. "Information spillover among cryptocurrency and traditional financial assets: Evidence from complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 646(C).
    • Handle: RePEc:eee:phsmap:v:646:y:2024:i:c:s0378437124004126
    DOI: 10.1016/j.physa.2024.129903
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