基于网络分析的股票市场和加密货币市场之间的风险溢出和对冲效应

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-08-08 DOI:10.1016/j.najef.2025.102524

Long Guo, Li-Xin Zhong

{"title":"基于网络分析的股票市场和加密货币市场之间的风险溢出和对冲效应","authors":"Long Guo, Li-Xin Zhong","doi":"10.1016/j.najef.2025.102524","DOIUrl":null,"url":null,"abstract":"<div><div>How to refrain from being affected by external shocks is a fascinating but intriguing problem in financial markets. Depending upon multilayer network analysis, we investigate the risk spillover between stock markets and cryptocurrency markets. Additionally, by constructing portfolios including green and dirty cryptocurrencies, we examine whether the existence of cryptocurrency markets helps stabilize the asset prices in the whole world. The results indicate that the effects of risk spillovers between cryptocurrency markets and stock markets exhibit regional differences, including risk spillover direction and risk spillover intensity. By comparing the price stability of different portforlios, we find that the portforlios with green and dirty cryptocurrencies exhibit greater hedge effectiveness than the portforlios without cryptocurrencies, which confirms the positive role of cryptocurrency markets in stabilizing the global asset markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102524"},"PeriodicalIF":3.9000,"publicationDate":"2025-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Risk spillover and hedging effects between stock markets and cryptocurrency markets depending upon network analysis\",\"authors\":\"Long Guo, Li-Xin Zhong\",\"doi\":\"10.1016/j.najef.2025.102524\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>How to refrain from being affected by external shocks is a fascinating but intriguing problem in financial markets. Depending upon multilayer network analysis, we investigate the risk spillover between stock markets and cryptocurrency markets. Additionally, by constructing portfolios including green and dirty cryptocurrencies, we examine whether the existence of cryptocurrency markets helps stabilize the asset prices in the whole world. The results indicate that the effects of risk spillovers between cryptocurrency markets and stock markets exhibit regional differences, including risk spillover direction and risk spillover intensity. By comparing the price stability of different portforlios, we find that the portforlios with green and dirty cryptocurrencies exhibit greater hedge effectiveness than the portforlios without cryptocurrencies, which confirms the positive role of cryptocurrency markets in stabilizing the global asset markets.</div></div>\",\"PeriodicalId\":47831,\"journal\":{\"name\":\"North American Journal of Economics and Finance\",\"volume\":\"80 \",\"pages\":\"Article 102524\"},\"PeriodicalIF\":3.9000,\"publicationDate\":\"2025-08-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"North American Journal of Economics and Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1062940825001640\",\"RegionNum\":3,\"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":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940825001640","RegionNum":3,"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

如何避免受到外部冲击的影响，是金融市场一个引人入胜但又耐人寻味的问题。通过多层网络分析，我们研究了股票市场和加密货币市场之间的风险溢出。此外，通过构建包括绿色和肮脏加密货币的投资组合，我们研究了加密货币市场的存在是否有助于稳定整个世界的资产价格。结果表明，加密货币市场与股票市场之间的风险溢出效应在风险溢出方向和风险溢出强度方面存在区域差异。通过比较不同投资组合的价格稳定性，我们发现含有绿色和肮脏加密货币的投资组合比没有加密货币的投资组合表现出更大的对冲有效性，这证实了加密货币市场在稳定全球资产市场中的积极作用。

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

Risk spillover and hedging effects between stock markets and cryptocurrency markets depending upon network analysis

How to refrain from being affected by external shocks is a fascinating but intriguing problem in financial markets. Depending upon multilayer network analysis, we investigate the risk spillover between stock markets and cryptocurrency markets. Additionally, by constructing portfolios including green and dirty cryptocurrencies, we examine whether the existence of cryptocurrency markets helps stabilize the asset prices in the whole world. The results indicate that the effects of risk spillovers between cryptocurrency markets and stock markets exhibit regional differences, including risk spillover direction and risk spillover intensity. By comparing the price stability of different portforlios, we find that the portforlios with green and dirty cryptocurrencies exhibit greater hedge effectiveness than the portforlios without cryptocurrencies, which confirms the positive role of cryptocurrency markets in stabilizing the global asset markets.

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

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.