The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market
•Asymmetric multifractal method and time-delay DCCA method are used.•The static and dynamic interdependent structures under different trends and fluctuations are studied.•Focuses on the impact of China’s policy of shutting down cryptocurrency on market interdependence and risk transmission. By takin...
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Veröffentlicht in: | The North American journal of economics and finance 2021-11, Vol.58, p.101514, Article 101514 |
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Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | •Asymmetric multifractal method and time-delay DCCA method are used.•The static and dynamic interdependent structures under different trends and fluctuations are studied.•Focuses on the impact of China’s policy of shutting down cryptocurrency on market interdependence and risk transmission.
By taking Bitcoin, Litecoin, and China’s gold and RMB/US dollar exchange rate market as research objects, this paper apply the MF-ADCCA and time-delayed DCCA methods to study the impact of China’s mainland shutdown of cryptocurrencies trading on the non-linear interdependent structure and risk transmission of cryptocurrencies and its financial market. Empirical results show that the cross-correlation between cryptocurrencies and China’s financial market has a long memory and asymmetric multifractal characteristics. After the shutdown, the long memory between cryptocurrencies and Chinese gold has weakened, and the long memory between cryptocurrencies and the RMB/US dollar exchange rate market was strengthened. China’s shutdown policy has a certain risk prevention effect. Specifically, after the implementation of the policy, the risk transmission of cryptocurrencies to China’s financial market has weakened, but the influence of China’s financial market has gradually strengthened. |
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ISSN: | 1062-9408 1879-0860 |
DOI: | 10.1016/j.najef.2021.101514 |