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Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China

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  • Li, Zhenghui
  • Mo, Bin
  • Nie, He

Abstract

This paper explored the connectedness of dynamic time-frequency between cryptocurrencies and traditional financial assets in China using a weekly dataset from September 4, 2015 to March 4, 2022. We found that cryptocurrencies were the primary contributors to the connectedness system and the primary risk sources for traditional financial assets in China. We also found that cryptocurrencies were the main net transmitters of dynamic spillovers, while China's traditional financial assets were the primary net receivers. In addition, conventional financial assets were more sharply influenced by cryptocurrencies in the short term because the level of spillovers was more significant than in the long term, and spillover fluctuations were intense during the COVID-19 pandemic. These findings provide empirical support for the Chinese State Council's current policy regarding crackdowns on cryptocurrencies.

Suggested Citation

  • Li, Zhenghui & Mo, Bin & Nie, He, 2023. "Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 46-57.
    • Handle: RePEc:eee:reveco:v:86:y:2023:i:c:p:46-57
    DOI: 10.1016/j.iref.2023.01.015
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    More about this item

    Keywords

    Time and frequency connectedness; Cryptocurrencies; Financial assets; COVID-19;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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