TY - JOUR
T1 - Volatility Spillovers between Bitcoin and Chinese Financial Markets
AU - Li, Ping
AU - Li, Jiahong
AU - Huang, Lixin
AU - Cui, Zhenyu
N1 - Publisher Copyright:
© 2023 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (https://creativecommons.org/licenses/by-nc-nd/4.0) Peer-review under responsibility of the scientific committee of the Tenth International Conference on Information Technology and Quantitative Management.
PY - 2023
Y1 - 2023
N2 - In his paper we explore the dynamic time-frequency volatility spillover effects between Bitcoin and Chinese financial markets, covering several main events. Results show that the volatility spillovers are asymmetric, with the Bitcoin market being the net risk receiver. The total spillovers, driven by medium and low frequency components, peak before the China stock crash in 2015, increase since the trade disputes between China and the US in 2018, and peak since the COVID-19 pandemic. The pairwise spillovers related to Bitcoins mainly concentrate on stock, foreign exchange, and copper futures markets. Although the pairwise spillovers are weak, the Bitcoin market is the net receiver in medium and low frequencies under external shocks. Therefore, investors and regulators need to assess the potential risk of Bitcoin based on asset type with the perspectives of time and frequency.
AB - In his paper we explore the dynamic time-frequency volatility spillover effects between Bitcoin and Chinese financial markets, covering several main events. Results show that the volatility spillovers are asymmetric, with the Bitcoin market being the net risk receiver. The total spillovers, driven by medium and low frequency components, peak before the China stock crash in 2015, increase since the trade disputes between China and the US in 2018, and peak since the COVID-19 pandemic. The pairwise spillovers related to Bitcoins mainly concentrate on stock, foreign exchange, and copper futures markets. Although the pairwise spillovers are weak, the Bitcoin market is the net receiver in medium and low frequencies under external shocks. Therefore, investors and regulators need to assess the potential risk of Bitcoin based on asset type with the perspectives of time and frequency.
KW - Bitcoin
KW - Chinese financial market
KW - Time-frequency dynamics
KW - Volatility spillover
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U2 - 10.1016/j.procs.2023.08.014
DO - 10.1016/j.procs.2023.08.014
M3 - Conference article
AN - SCOPUS:85171762742
SN - 1877-0509
VL - 221
SP - 1474
EP - 1484
JO - Procedia Computer Science
JF - Procedia Computer Science
T2 - 10th International Conference on Information Technology and Quantitative Management, ITQM 2023
Y2 - 12 August 2023 through 14 August 2023
ER -