监管环境下加密货币与金融市场的分位数溢出效应

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-10-03 DOI:10.1016/j.frl.2025.108630

Wenhao Gu , Jiahao Li , Xianming Sun

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引用次数: 0

摘要

本研究调查了中国和新加坡加密货币市场和金融市场（股票、债券、外汇和货币）之间的风险溢出，突出了不同分位数和加密货币监管下的异质性。利用分位数向量自回归（QVAR）模型，我们发现在这两个国家，静态溢出在极端分位数下比在正常市场条件下更为明显。与新加坡相比，中国的加密货币禁令减少了加密货币与股票市场之间的溢出效应，但增加了加密货币与外汇市场之间的溢出效应。此外，这一禁令放大了五个市场在极端分位数上的总溢出效应，主要是由货币市场到加密货币市场的溢出效应驱动的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Quantile spillover effect among cryptocurrency and financial markets in regulated environment

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.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance