加密货币和交易所波动溢出的异质性

IF 6.9 1区经济学 Q1 BUSINESS, FINANCE

Financial Innovation Pub Date : 2024-04-12 DOI:10.1186/s40854-023-00585-0

Meiyu Wu, Li Wang, Haijun Yang

{"title":"加密货币和交易所波动溢出的异质性","authors":"Meiyu Wu, Li Wang, Haijun Yang","doi":"10.1186/s40854-023-00585-0","DOIUrl":null,"url":null,"abstract":"This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined dynamically in the time and frequency domains. We find that Ripple is a net receiver on Coinbase but acts as a net contributor on other exchanges. Bitfinex and Binance have different net spillover effects on the six cryptocurrency markets. Finally, we identify the determinants of total connectedness in two types of volatility spillover, which can explain cryptocurrency or exchange interlinkage.","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":null,"pages":null},"PeriodicalIF":6.9000,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Heterogeneity in the volatility spillover of cryptocurrencies and exchanges\",\"authors\":\"Meiyu Wu, Li Wang, Haijun Yang\",\"doi\":\"10.1186/s40854-023-00585-0\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined dynamically in the time and frequency domains. We find that Ripple is a net receiver on Coinbase but acts as a net contributor on other exchanges. Bitfinex and Binance have different net spillover effects on the six cryptocurrency markets. Finally, we identify the determinants of total connectedness in two types of volatility spillover, which can explain cryptocurrency or exchange interlinkage.\",\"PeriodicalId\":37175,\"journal\":{\"name\":\"Financial Innovation\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":6.9000,\"publicationDate\":\"2024-04-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Financial Innovation\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1186/s40854-023-00585-0\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Innovation","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1186/s40854-023-00585-0","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

本研究考察了四个代表性交易所和六种流动加密货币的波动溢出效应。利用交易所的高频交易数据，可以在时域和频域上动态考察交易所在波动溢出方面的异质性。我们发现，瑞波币在 Coinbase 是净接收者，但在其他交易所则是净贡献者。Bitfinex 和 Binance 对六个加密货币市场的净溢出效应各不相同。最后，我们确定了两类波动溢出中总连接性的决定因素，这两类波动溢出可以解释加密货币或交易所之间的相互联系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Heterogeneity in the volatility spillover of cryptocurrencies and exchanges

This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined dynamically in the time and frequency domains. We find that Ripple is a net receiver on Coinbase but acts as a net contributor on other exchanges. Bitfinex and Binance have different net spillover effects on the six cryptocurrency markets. Finally, we identify the determinants of total connectedness in two types of volatility spillover, which can explain cryptocurrency or exchange interlinkage.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Financial Innovation Economics, Econometrics and Finance-Finance

CiteScore

11.40

自引率

11.90%

发文量

审稿时长

5 weeks

期刊介绍： Financial Innovation (FIN), a Springer OA journal sponsored by Southwestern University of Finance and Economics, serves as a global academic platform for sharing research findings in all aspects of financial innovation during the electronic business era. It facilitates interactions among researchers, policymakers, and practitioners, focusing on new financial instruments, technologies, markets, and institutions. Emphasizing emerging financial products enabled by disruptive technologies, FIN publishes high-quality academic and practical papers. The journal is peer-reviewed, indexed in SSCI, Scopus, Google Scholar, CNKI, CQVIP, and more.