 A Note on the Relationship Between Stock Market Volatility and Cryptocurrencies: New Evidence From China–US Trade FrictionsKexin Liu, Viktor Manahov and Dimitrios Stafylas Journal of Futures Markets, 2025, vol. 45, issue 12, 2232-2261 Abstract: In the context of China–US trade friction, we use the TVP‐VAR, SHAP, DECO, and CDB model to test the spillover volatility, hedging, safe haven, and portfolio returns of cryptocurrencies based on daily data of Bitcoin, Ethereum, Litecoin, Ripple, CSI300 Index, Shanghai Composite Index, S&P500 Index, and Nasdaq Index. The results show a significant short‐term time‐varying asymmetric volatility spillover effect between cryptocurrencies and the US and Chinese stock markets. Cryptocurrencies can be used as short‐term hedging assets for the Chinese stock market. The evidence also shows no long‐term correlation between cryptocurrencies and the stock market. Therefore, in periods of volatility caused by trade friction between the two countries, such as the imposition of high tariffs, investors can regard cryptocurrencies as short‐term hedging assets and long‐term safe haven assets to mitigate losses caused by stock market fluctuations. In addition, adding cryptocurrencies to stock index portfolios can significantly diversify risks and increase returns. Date: 2025 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:45:y:2025:i:12:p:2232-2261 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Futures Markets is currently edited by Robert I. Webb More articles in Journal of Futures Markets from John Wiley & Sons, Ltd. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.