The interdependence structure of cryptocurrencies and Chinese financial assets

Ting Gao, Huaiming Wang and Dongying Du

Finance Research Letters, 2024, vol. 62, issue PA

Abstract: This study examines the interdependence structure between cryptocurrencies and Chinese financial assets. The results show a substantial multifractal cross-correlation between cryptocurrencies and Chinese financial assets. When cryptocurrency yield rates follow different trends, their cross-correlations with Chinese financial assets differ, and the asymmetry becomes more prominent. Furthermore, although a “shutdown” policy would impact the two factors’ interdependent structure, it would not eliminate the impact of cryptocurrencies on financial assets.

Keywords: Cryptocurrency; Chinese financial assets; Interdependence structure (search for similar items in EconPapers)
JEL-codes: C32 C58 E44 F30 G12 O53 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001168

DOI: 10.1016/j.frl.2024.105086

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