Multidimensional information spillover between cryptocurrencies and China’s financial markets under shocks from stringent government regulations

Ming-Yuan Yang, Zhe-Kai Chen, Jingwen Hu, Yiru Chen and Xin Wu

Journal of International Financial Markets, Institutions and Money, 2025, vol. 100, issue C

Abstract: This paper investigates the multidimensional spillover effects between cryptocurrencies and China’s financial markets within a time-varying variance decomposition framework. Using the event study method, we examine the impact of China’s stringent regulations on the spillover effects between cryptocurrencies and China’s financial markets. Additionally, we employ multilayer network analysis to uncover interactions among different spillover dimensions. We find that (i) there are significant multidimensional spillover effects between cryptocurrencies and financial markets in China, with cryptocurrencies serving as net transmitters and China’s financial markets as the primary receivers across different dimensions. (ii) The stringent regulations imposed by the Chinese government on the cryptocurrency market significantly impact the information spillover between cryptocurrencies and China’s financial markets in all three dimensions. (iii) Nodes in different layers of the multilayer spillover network have distinct levels of importance and characteristics, so it is essential to consider all possible spillover effects when making investment decisions and managing risks. These findings have important implications for investors when they assess risk and construct diversified portfolios, and for regulators when they formulate policies for risk regulation.

Keywords: Cryptocurrency; Information spillover; Government regulations; Multilayer networks (search for similar items in EconPapers)
JEL-codes: G14 G15 G18 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443125000241
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:intfin:v:100:y:2025:i:c:s1042443125000241

DOI: 10.1016/j.intfin.2025.102134

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().