IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v61y2024ics1544612323013223.html
   My bibliography  Save this article

Decomposing interconnectedness: A study of cryptocurrency spillover effects in global financial markets

Author

Listed:
  • Liu, Jian
  • Julaiti, Jiansuer
  • Gou, Shangde

Abstract

This paper employs a novel R2 decomposition connectivity method to analyze the spillover effects between cryptocurrencies and other markets, distinguishing between contemporaneous and lagged components. There are evidences shows cryptocurrency markets exhibit stronger contemporaneous dependency compared to lagged periods. The lagged net spillover effects in the cryptocurrency market demonstrate higher similarity to the overall net spillover effects, especially during periods of significant decline in net spillover effects. The contemporaneous net spillover effects of Fed's balance sheet show higher correlation with the overall net spillover effects during the COVID-19 pandemic.

Suggested Citation

  • Liu, Jian & Julaiti, Jiansuer & Gou, Shangde, 2024. "Decomposing interconnectedness: A study of cryptocurrency spillover effects in global financial markets," Finance Research Letters, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013223
    DOI: 10.1016/j.frl.2023.104950
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612323013223
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2023.104950?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Cryptocurrency; Fed's balance sheet; Dynamic linkages; R2 decomposition;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013223. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.