Can Bitcoin help money cross the border: International evidence
Hong Bao,
Jianjun Li,
Yuchao Peng and
Qiang Qu
Finance Research Letters, 2022, vol. 49, issue C
Abstract:
This paper constructs a regional monthly co-movement indicator (Dynamic Conditional Correlation, DCC) between Bitcoin and MSCI indices of 21 regions based on the DCC-GARCH model. DCCs in most sample regions are positive, implying a strong linkage of Bitcoin and local stock markets. Furthermore, a region's capital account control of has positive impact on DCC, and the impact is more pronounced in regions with better money laundering supervision and less developed financial systems. This implies that Bitcoin, with investment and illegal purposes, tends to be likely used as an unregulated global currency to channel the funds from home to abroad. Finally, we also find that the rise in DCC will increase the pressure on the local financial system. Our study can assist cryptocurrency investors and regulators in making more informed decisions.
Keywords: Stock market; Bitcoin; Co-movement; Determinants; Consequence (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612322003506
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:s1544612322003506
DOI: 10.1016/j.frl.2022.103127
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 (repec@elsevier.com).