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Asymmetric dynamic spillover effect between cryptocurrency and China's financial market: Evidence from TVP-VAR based connectedness approach

Citations

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Cited by:

  1. Roudari, Soheil & Ahmadian- Yazdi, Farzaneh & Namazizadeh, Ehsan, 2024. "بررسی سرریز ریسک پویا نامتقارن در بازار فلزات اساسی: شواهدی از مدیریت مواد مصرفی مجتمع صنایع مس شهید باهنر [Examining Asymmetric Dynamic Risk Spillover in the Base Metals Market: Evidence from Material Management at Shahid Bahonar Copper Industrie," MPRA Paper 126957, University Library of Munich, Germany.
  2. M’bakob, Gilles Brice, 2025. "Cryptocurrencies and financial market stability: Theoretical modeling and empirical evidence of spillover effects from sequential attention cycles of crypto investors," Research in International Business and Finance, Elsevier, vol. 80(C).
  3. Yang, Lanyong & Zhu, Yongguang & Li, Junhui & Dou, Shiquan & Liu, Gang & Xu, Deyi, 2025. "The midstream amplifier: Risk spillovers in China's lithium supply chain from mining to batteries," Journal of Commodity Markets, Elsevier, vol. 38(C).
  4. Xie, Qiwei & Cheng, Lu & Liu, Ranran & Zheng, Xiaolong & Li, Jingyu, 2023. "COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 52(C).
  5. Narayan, Shivani & Kumar, Dilip, 2024. "Unveiling interconnectedness and risk spillover among cryptocurrencies and other asset classes," Global Finance Journal, Elsevier, vol. 62(C).
  6. Donoiu Paul Cristian & Iacob Delia, 2023. "The Cryptocurrency Market and the Financial Stability," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 17(1), pages 1769-1778, July.
  7. Bin Mo & He Nie, 2022. "The Impact of RCEP on Dual Circulation and Greater Bay Area — From the Perspective of China’s Stock Market Conditions," Economic Analysis Letters, Anser Press, vol. 1(2), pages 15-22, December.
  8. Lim, Seo-Yeon & Choi, Sun-Yong, 2024. "Dynamic credit risk transmissions among global major industries: Evidence from the TVP-VAR spillover approach," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  9. Guo, Xiaozhu & Wang, Yi & Hao, Yixue & Zhang, Wenwen, 2023. "Spillover effect among carbon bond market, carbon stock market and energy stock market: Evidence from China," Finance Research Letters, Elsevier, vol. 58(PC).
  10. Yan, Wan-Lin & (Wai Kong) Cheung, Adrian & Yuan, Jiawei, 2026. "The impact of green cryptocurrency and nongreen cryptocurrency on energy markets: Evidence from geopolitical risk and higher-order moment connectedness," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
  11. Choi, Sun-Yong, 2024. "Sectoral responses to economic policy uncertainty and geopolitical risk in the US stock market," Journal of Multinational Financial Management, Elsevier, vol. 76(C).
  12. Rim El Khoury & Muneer M. Alshater & Onur Polat, 2025. "Japanese stock market sectoral dynamics: A time and frequency analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(2), pages 1249-1274, April.
  13. Lee, Min-Jae & Choi, Sun-Yong, 2024. "Insights into the dynamics of market efficiency spillover of financial assets in different equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).
  14. Younis, Ijaz & Du, Anna Min & Gupta, Himani & Shah, Waheed Ullah, 2024. "Dynamic spillover effects and interconnectedness of DeFi assets, commodities, and Islamic stock markets during crises," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  15. Roudari, Soheil & Jalili, Esmaeil & Omidi, Vahid, 2023. "مدیریت سبد سرمایه¬گذاری در صنعت پالایشگاهی: بررسی شرایط با بازدهی مثبت و منفی: رویکرد Asymmetric TVP-VAR [Portfolio Management in the Refining Industry: Investigating Conditions with Positive and Negative Returns: An Asymmetric TVP-VAR Approach]," MPRA Paper 127026, University Library of Munich, Germany, revised 05 Jan 2024.
  16. Roudari, Soheil & Ahmadi, Ali Mohammad & Omidi, Vahid, 2023. "بررسی ساز و کار انتقال ریسک آنی در سبد سرمایه¬گذاری با استفاده از رویکرد R2 Connectedness: شواهدی از شرکت سرمایه¬گذاری صندوق بازنشستگی کشور [Examining the mechanism of Contemporaneous risk transmission in the investment portfolio using the R2 Conn," MPRA Paper 127024, University Library of Munich, Germany, revised 18 May 2024.
  17. Mellouli Dhoha & Wael Dammak & Hind Alnafisah & Ahmed Jeribi, 2024. "Dynamic spillovers between natural gas and BRICS stock markets during health and political crises," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(2), pages 453-485, June.
  18. Xie, Wenhao & Cao, Guangxi, 2024. "Volatility and returns connectedness between cryptocurrency and China’s financial markets: A TVP-VAR extended joint connectedness approach," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  19. Azmi, Wajahat & Anwer, Zaheer & Azmi, Shujaat Naeem & Nobanee, Haitham, 2023. "How did major global asset classes respond to Silicon Valley Bank failure?," Finance Research Letters, Elsevier, vol. 56(C).
  20. Qi, Haozhi & Ma, Lijun & Peng, Pin & Chen, Hao & Li, Kang, 2022. "Dynamic connectedness between clean energy stock markets and energy commodity markets during times of COVID-19: Empirical evidence from China," Resources Policy, Elsevier, vol. 79(C).
  21. Wu, Xiangling & Ding, Shusheng, 2023. "The impact of the Bitcoin price on carbon neutrality: Evidence from futures markets," Finance Research Letters, Elsevier, vol. 56(C).
  22. Ugolini, Andrea & Reboredo, Juan C. & Mensi, Walid, 2023. "Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets," Finance Research Letters, Elsevier, vol. 53(C).
  23. Ali, Shoaib & Ijaz, Muhammad Shahzad & Yousaf, Imran & Li, Yanshuang, 2023. "Connectedness and portfolio management between renewable energy tokens and metals: Evidence from TVP-VAR approach," Energy Economics, Elsevier, vol. 127(PA).
  24. Roudari, Soheil, 2024. "بررسی رابطه علی پویا میان بازار سهام و سایر بازارهای دارایی: شواهدی جدید از الگوی Rolling- Window Bootstrap Causality [Dynamic Causal Relationships Between the Stock Market and Other Asset Markets: New Evidence from a Rolling Window Bootstrap Caus," MPRA Paper 126972, University Library of Munich, Germany.
  25. Aharon, David Y. & Butt, Hassan Anjum & Jaffri, Ali & Nichols, Brian, 2023. "Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks," International Review of Financial Analysis, Elsevier, vol. 87(C).
  26. Huthaifa Sameeh Alqaralleh, 2023. "The extreme spillover from climate policy uncertainty to the Chinese sector stock market: wavelet time-varying approach," Letters in Spatial and Resource Sciences, Springer, vol. 16(1), pages 1-17, December.
  27. Ali, Shoaib & Umar, Muhammad & Naveed, Muhammad & Shan, Shan, 2024. "Assessing the impact of renewable energy tokens on BRICS stock markets: A new diversification approach," Energy Economics, Elsevier, vol. 134(C).
  28. Song, Shijia & Li, Handong, 2025. "Can topological transitions in cryptocurrency systems serve as early warning signals for extreme fluctuations in traditional markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 657(C).
  29. Chenarani, Hasan & Roudari, Soheil, 2025. "اولویت بندی واگذاری بنگاه¬های اقتصادی زیر مجموعه صندوق¬های بازنشستگی با تاکید بر مدیریت سرمایه¬گذاری: شواهدی جدید از رویکرد DCC-GARCH R2 decomposed connectedness [Prioritizing the Divestment of Pension Fund-Owned Enterprises with an Emphasis on In," MPRA Paper 126973, University Library of Munich, Germany, revised 14 Oct 2025.
  30. Muhammad Irfan & Mubeen Abdur Rehman & Sarah Nawazish & Yu Hao, 2023. "Performance Analysis of Gold- and Fiat-Backed Cryptocurrencies: Risk-Based Choice for a Portfolio," JRFM, MDPI, vol. 16(2), pages 1-15, February.
  31. Al-Shboul, Mohammad & Assaf, Ata & Mokni, Khaled, 2023. "Does economic policy uncertainty drive the dynamic spillover among traditional currencies and cryptocurrencies? The role of the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 64(C).
  32. Jiamu Hu, 2023. "The international spill over effect of American economy on China’s macro-economy based on MCMC-Gibbs sampling algorithm," PLOS ONE, Public Library of Science, vol. 18(11), pages 1-20, November.
  33. Si Mohammed, Kamel & Tedeschi, Marco & Mallek, Sabrine & Tarczyńska-Łuniewska, Małgorzata & Zhang, Anqi, 2023. "Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash," Resources Policy, Elsevier, vol. 85(PA).
  34. Younis, Ijaz & Naeem, Muhammad Abubakr & Shah, Waheed Ullah & Tang, Xuan, 2025. "Inter- and intra-connectedness between energy, gold, Bitcoin, and Gulf cooperation council stock markets: New evidence from various financial crises," Research in International Business and Finance, Elsevier, vol. 73(PA).
  35. Wang, Min & Su, Yuquan, 2023. "How Russian-Ukrainian geopolitical risks affect Chinese commodity and financial markets?," Finance Research Letters, Elsevier, vol. 56(C).
  36. Li, Houjian & Huang, Xinya & Guo, Lili, 2023. "Extreme risk dependence and time-varying spillover between crude oil, commodity market and inflation in China," Energy Economics, Elsevier, vol. 127(PB).
  37. Li, Xingyi & Gan, Kai & Zhou, Qi, 2023. "Dynamic volatility connectedness among cryptocurrencies and China's financial assets in standard times and during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 51(C).
  38. Kexin Liu & Viktor Manahov & Dimitrios Stafylas, 2025. "A Note on the Relationship Between Stock Market Volatility and Cryptocurrencies: New Evidence From China–US Trade Frictions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(12), pages 2232-2261, December.
  39. Ahmed, Mohamed Shaker & El-Masry, Ahmed A. & Al-Maghyereh, Aktham I. & Kumar, Satish, 2024. "Cryptocurrency volatility: A review, synthesis, and research agenda," Research in International Business and Finance, Elsevier, vol. 71(C).
  40. Assaf, Ata & Demir, Ender & Mokni, Khaled, 2024. "Exploring connectedness among cryptocurrency, technology communication, and FinTech through dynamic and fractal analysis," Finance Research Letters, Elsevier, vol. 63(C).
  41. Omidi, Vahid & Roudari, Soheil & Jamshidi, Amir, 2023. "بررسی ارتباط بین گروه بانکها، خودرو، سیمان، فلزات اساسی و فرآورده های نفتی در بورس اوراق بهادار تهران به تفکیک شرایط با بازدهی مثبت و منفی با استفاده از الگوی Asymmetric TVP-VAR [Investigating The Relationship Between Bank, Automotive, Cement, Bas," MPRA Paper 127027, University Library of Munich, Germany, revised 16 Nov 2023.
  42. Younis, Ijaz & Gupta, Himani & Du, Anna Min & Shah, Waheed Ullah & Hanif, Waqas, 2024. "Spillover dynamics in DeFi, G7 banks, and equity markets during global crises: A TVP-VAR analysis," Research in International Business and Finance, Elsevier, vol. 70(PB).
  43. Wu, Hao & Huang, Yuan, 2025. "Identifying risk transmission in carbon, energy and metal markets: Evidence from a novel quantile frequency connectedness approach," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
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