Cryptocurrency: A new player or a new crisis in financial markets? —— Evolutionary analysis of association and risk spillover based on network science

Fan Zhou

Physica A: Statistical Mechanics and its Applications, 2024, vol. 648, issue C

Abstract: In recent years, cryptocurrency has attracted widespread research attention. Against the backdrop of financial globalization, the high volatility of cryptocurrency prices may pose a threat to the stability of the entire financial system. To explore the potential association and transmission of financial risks between cryptocurrency and traditional financial assets, this paper constructs a complex network using the Granger causality method and the DY spillover method. Based on data from 24 categories of assets or index returns from different markets, networks of association and risk spillover between cryptocurrency market and traditional financial markets are established under different time periods, the study covers the period from January 2015 to November 2023. Analyzing the mutual influence between cryptocurrency and traditional financial markets from the perspective of complex networks, and evaluating the market positioning, risk characteristics, and investment potential of cryptocurrency. Research findings indicate that cryptocurrency possesses not only monetary characteristics but also functions as an investment tool, significantly impacting the stability of traditional financial markets. Furthermore, different types of cryptocurrencies vary in market functions, risk characteristics, and investment potentials. Future research could further explore the nonlinear and dynamic associations between cryptocurrency and traditional financial markets, as well as the micro mechanisms and behavioral factors within cryptocurrency markets.

Keywords: Cryptocurrency; Traditional Financial Markets; Association; Risk Spillover; Complex Network Analysis (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437124004643
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:phsmap:v:648:y:2024:i:c:s0378437124004643

DOI: 10.1016/j.physa.2024.129955

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().