Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China

Zhenghui Li, Bin Mo and He Nie

International Review of Economics & Finance, 2023, vol. 86, issue C, 46-57

Abstract: This paper explored the connectedness of dynamic time-frequency between cryptocurrencies and traditional financial assets in China using a weekly dataset from September 4, 2015 to March 4, 2022. We found that cryptocurrencies were the primary contributors to the connectedness system and the primary risk sources for traditional financial assets in China. We also found that cryptocurrencies were the main net transmitters of dynamic spillovers, while China's traditional financial assets were the primary net receivers. In addition, conventional financial assets were more sharply influenced by cryptocurrencies in the short term because the level of spillovers was more significant than in the long term, and spillover fluctuations were intense during the COVID-19 pandemic. These findings provide empirical support for the Chinese State Council's current policy regarding crackdowns on cryptocurrencies.

Keywords: Time and frequency connectedness; Cryptocurrencies; Financial assets; COVID-19 (search for similar items in EconPapers)
JEL-codes: C20 C22 G10 G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056023000230
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:reveco:v:86:y:2023:i:c:p:46-57

DOI: 10.1016/j.iref.2023.01.015

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().