Multi-period impacts and network connectivity of cryptocurrencies to international stock markets

Jiang-Cheng Li, Yi-Zhen Xu, Chen Tao and Guang-Yan Zhong

Physica A: Statistical Mechanics and its Applications, 2025, vol. 658, issue C

Abstract: Compared to traditional financial assets, cryptocurrencies exhibit higher volatility and uncertainty, with price fluctuations that are more difficult to predict. This heightened unpredictability can significantly affect global stock markets and profoundly influence the evolution of their risk network structures. Therefore, it is crucial to examine the multi-period connectivity and impacts of cryptocurrencies on the risk networks of international stock markets, alongside exploring the dynamic topological structures and evolutionary patterns of these networks. This study draws on complex systems and network theory, introducing a novel framework for analyzing multi-period connectivity and impacts, applied to six cryptocurrencies and the stock markets of G7 countries. It examines the multi-period effects of cryptocurrencies on global market risk network connectivity, impacts, and topology, while also testing the power-law behavior of network topologies across multi-periods. Empirical analysis reveals that: (1) Volatility in the short and medium terms following cryptocurrency shocks is more pronounced, with short-term fluctuations being larger and long-term factors exerting a greater influence on network characteristics; (2) XRP causes substantial disruptions, leading to increased volatility in the Japanese stock market; (3) Cryptocurrencies significantly enhance the connectivity of risk networks among G7 countries; and (4) Across different periods, the network exhibits a similar power-law distribution, with both risk concentration and diffusion effects showing identical trends of variation. However, in the short term, the average node connectivity is higher, and the network is more likely to evolve a core of risk contagion over the long term.

Keywords: Cryptocurrency; Complex network; Power law distribution; IRF analysis; Econophysics (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437124008094
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:658:y:2025:i:c:s0378437124008094

DOI: 10.1016/j.physa.2024.130299

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 ().