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Quantile spillover effect among cryptocurrency and financial markets in regulated environment

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  • Gu, Wenhao
  • Li, Jiahao
  • Sun, Xianming

Abstract

This study investigates the risk spillovers among the cryptocurrency market and financial markets—stock, bond, foreign exchange, and money—in China and Singapore, highlighting heterogeneity under different quantiles and cryptocurrency regulations. Utilizing Quantile-Vector Autoregression (QVAR) model, we find that in both countries, static spillovers are more pronounced at extreme quantiles than under normal market conditions. Compared with Singapore, China’s cryptocurrency prohibition reduces spillovers between cryptocurrency and stock markets but increases spillovers between cryptocurrency and foreign exchange markets. Additionally, this prohibition amplifies total spillovers among the five markets at extreme quantiles, primarily driven by the spillover from the money market to the cryptocurrency market.

Suggested Citation

  • Gu, Wenhao & Li, Jiahao & Sun, Xianming, 2025. "Quantile spillover effect among cryptocurrency and financial markets in regulated environment," Finance Research Letters, Elsevier, vol. 86(PD).
    • Handle: RePEc:eee:finlet:v:86:y:2025:i:pd:s1544612325018847
    DOI: 10.1016/j.frl.2025.108630
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
    • F3 - International Economics - - International Finance
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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