Asymmetric dynamic spillover effect between cryptocurrency and China's financial market: Evidence from TVP-VAR based connectedness approach

Cao Guangxi and Wenhao Xie

Finance Research Letters, 2022, vol. 49, issue C

Abstract: In this paper, we constructed a volatility spillover index based on the time-varying parameter vector autoregressions (TVP-VAR) model to study the asymmetric volatility spillover effect between cryptocurrency and China's financial market. Our results show that the impact of cryptocurrency on China's financial market is relatively strong, but the impact of China's financial market on cryptocurrency is very weak. Furthermore, negative spillovers are stronger than positive spillovers. The average negative volatility spillover is dominant for Bitcoin and Ethereum, but the average positive volatility spillover is dominant for Ripple. This study has implications for investors and policymakers.

Keywords: Cryptocurrency; Volatility spillover; Asymmetry; TVP-VAR model (search for similar items in EconPapers)
JEL-codes: G01 G12 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612322003026
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003026

DOI: 10.1016/j.frl.2022.103070

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().