Bitcoin spillovers: A high‐frequency cross‐asset analysis

Minhao Leong and Simon Kwok

The Financial Review, 2025, vol. 60, issue 2, 453-479

Abstract: This study examines the spillover of Bitcoin's jumps and diffusive variations to traditional assets using high‐frequency data. For our cross‐asset analysis, we detect positive spillovers from Bitcoin to risk assets and negative spillovers to defensive assets. We also find evidence of positive jump and diffusion spillovers from Bitcoin to U.S. equity sectors, particularly the financials, technology, consumer discretionary, and communication services sectors. By examining the source of these risk transmissions, we show that these spillovers are exacerbated by increased economic exposures to blockchain and cryptocurrency technologies by U.S. companies. The empirical findings reveal that the price fluctuations of an unregulated asset such as Bitcoin can materially affect the price dynamics of regulated assets.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/fire.12418

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:bla:finrev:v:60:y:2025:i:2:p:453-479

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0732-8516

Access Statistics for this article

The Financial Review is currently edited by Cynthia J. Campbell and Arnold R. Cowan

More articles in The Financial Review from Eastern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().