Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China

Li, Zhenghui; Mo, Bin; Nie, He

doi:10.1016/j.iref.2023.01.015

Cited by 55 publications

(13 citation statements)

References 109 publications

(42 reference statements)

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“…Cross-border use is the foundation for cross-border holdings, which in turn can deepen cross-border use and expand the scale of cross-border settlements. As China’s financial market liberalizes, the link between Chinese financial and international assets becomes stronger [ 47 ]. When the RMB is more widely used and held, and its international recognition increases, the international attributes of its financial assets can be further enhanced, which is an important way to enhance financial stability and RMB internationalization under open market conditions.…”

Section: Methodsmentioning

confidence: 99%

Impact of RMB internationalization on China’s competitiveness in financial services trade based on the VAR model: Evidence from China-US

Lei

2024

PLoS ONE

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An increase in a currency internationalization levels can positively impact its credibility in international economic activities, and expand the effective demand and optimize the supply structure for the country’s financial service trade. In this way, a state can improve its financial service trade competitiveness in the international market. This study builds a vector autoregressive model based on time-series data of China-US financial services trade from 2010 to 2021, analyzes the impact of different quantitative indicators of RMB internationalization on this trade from the impulse response results, and validates the conclusions using various inspection methods. The results show that the increase in RMB internationalization helps to narrow the China-US financial services trade balance, but with a significant lag. And this effect is heterogeneous in different dimensions, demonstrated by the fact that the development of overseas RMB securities business is more important for the level of RMB internationalization to narrow the China-US financial services trade balance. Finally, among the specific measures to improve its financial services trade, China should focus on developing the international competitiveness of the traditional RMB deposit and loan financial sector, while the competition in the overseas market for high value-added financial businesses must also not be neglected. Furthermore, China needs to implement more targeted RMB internationalization development policies at different levels in the future to provide high-quality financial services to the rest of the world and aid in the economic recovery of the world in the "post-pandemic" era.

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Section: Methodsmentioning

confidence: 99%

Impact of RMB internationalization on China’s competitiveness in financial services trade based on the VAR model: Evidence from China-US

Lei

2024

PLoS ONE

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“…The evidence suggests that silver outperforms gold as a safe haven asset in the post-COVID-19 period, whereas both copper and iron have weak hedging effects on global stock indices. Furthermore, as emerging cryptocurrencies affect traditional financial assets (Li et al 2023;Cui and Maghyereh 2022), investors' preferences have prompted them to pursue traditional (i.e., gold) and emerging assets (i.e., Bitcoin) to optimize their hedging strategies (Ustaoglu 2023).…”

Section: Literature Reviewmentioning

confidence: 99%

Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH

Li,

Haneklaus,

Rahman

2024

Financ Innov

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This study examines the dynamic connectedness and hedging opportunities between CSI300 (China Security Index 300) and copper, gold, PTA (purified terephthalic acid), and soybean in China from January 09, 2008, to June 30, 2023. A TVP-VAR and cDCC-FIAPARCH modeling framework was used for the empirical investigation. The results show that the total connectedness index can effectively capture cross-asset information transmission in China’s financial markets. Copper returns are the dominant volatility transmitters, while CSI300, gold, and soybean returns are net recipients. The Russian–Ukraine war reinforced the safe-haven role of gold. Finally, investors with CSI300 long positions may benefit from prioritizing gold for hedging, while those with CSI300 short positions profit more from allocating gold to PTA. Portfolio managers and investors can use the findings to track the dynamics of systemic risk and adjust their long/short positions when investing in China's stock and commodity markets.

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“…Spillover effects can be both direct, where shocks are transmitted immediately and directly, and indirect, where the effects are transmitted through intermediate channels. Recent studies show that spillovers can be transitory or permanent [30][31][32]. Transitory spillovers refer to short-term or temporary effects that arise from the transmission of shocks.…”

Section: Spillover Theorymentioning

confidence: 99%

Spillovers across the Asian OPEC+ Financial Market

Vuković,

Dekpo-Adza,

Khmelnitskiy

et al. 2023

Mathematics

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This research utilizes the Diebold and Yilmaz spillover model to examine the correlation between geopolitical events, natural disasters, and oil stock returns in Asian OPEC+ member countries. The study extends prior research by investigating the dynamics of the Asian OPEC+ oil market in light of recent exogenous events. The analysis commences by creating a self-generated Asian OPEC+ index, which demonstrates significant volatility, as indicated by GARCH (1, 1) model estimation. The results obtained from the Diebold and Yilmaz spillover test indicate that, on average, there is a moderate degree of connectedness among the variables. However, in the event of global-level shocks or shocks specifically affecting Asian OPEC+ countries, a heightened level of connectedness is found. Prominent instances of spillover events observed in the volatility analysis conducted during the previous decade include the COVID-19 pandemic, the conflict between Russia and Ukraine, and the Turkey earthquake of 2023. Based on the facts, it is recommended that investors take into account the potential risks linked to regions that are susceptible to natural calamities and geopolitical occurrences while devising their portfolios for oil stocks. The results further highlight the significance of integrating these aspects into investors’ decision-making procedures and stress the need for risk management tactics that consider geopolitical risks and natural disasters in the oil equity market.

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Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China

Cited by 55 publications

References 109 publications

Impact of RMB internationalization on China’s competitiveness in financial services trade based on the VAR model: Evidence from China-US

Impact of RMB internationalization on China’s competitiveness in financial services trade based on the VAR model: Evidence from China-US

Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH

Spillovers across the Asian OPEC+ Financial Market

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