Capture the contagion network of bitcoin - Evidence from pre and mid COVID-19
文献类型：期刊论文
| 作者 | Guo, Xiaochun1,2,3; Lu, Fengbin4,5; Wei, Yunjie4,5 |
| 刊名 | RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
 |
| 出版日期 | 2021-12-01 |
| 卷号 | 58页码:14 |
| 关键词 | Bitcoin COVID-19 Contagion DAG Financial market risk |
| ISSN号 | 0275-5319 |
| DOI | 10.1016/j.ribaf.2021.101484 |
| 英文摘要 | COVID-19 is the first global scale crisis since the inception of Bitcoin. We compare the contagion phenomenon of Bitcoin and other financial markets or assets pre and during the COVID-19 shock in both contemporaneous and non-contemporaneous manner. This paper uses the directed acyclic graph (DAG), spillover index, and network topology to provide strong evidence on the directional contagion outcomes of Bitcoin and other assets. The empirical results show that the contagion effect between Bitcoin and developed markets is strengthened during the COVID-19 crisis. Particularly, European market has a dominant role. Excluding Bitcoin's own shocks, United State and European markets are the main contagion sources to Bitcoin. European market also works as a intermediary to deliver infectious from United State and market fear. The findings show that gold always has contagion effect with Bitcoin, while gold, US dollar and bond market are the contagion receivers of Bitcoin under the shock of COVID-19. The empirical results further proved the safe haven, hedge and diversifier potential of Bitcoin in economic stable time, but also shows that the sustainability of these properties is undermined during the market turmoil. |
| 资助项目 | National Natural Science Foundation of China[71801213] ; National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[72042019] |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000696997700008 |
| 出版者 | ELSEVIER |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/59305]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wei, Yunjie |
| 作者单位 | 1.Univ Chinese Acad Sci, Sino Danish Ctr, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 3.Copenhagen Business Sch, Dept Management Polit & Philosophy, DK-2000 Frederiksberg, Denmark 4.Chinese Acad Sci, Acad Math & Syst Sci, Zhongguancun East Rd,55 Haidian Dist, Beijing 100190, Peoples R China 5.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Guo, Xiaochun,Lu, Fengbin,Wei, Yunjie. Capture the contagion network of bitcoin - Evidence from pre and mid COVID-19[J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,2021,58:14. |
| APA | Guo, Xiaochun,Lu, Fengbin,&Wei, Yunjie.(2021).Capture the contagion network of bitcoin - Evidence from pre and mid COVID-19.RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,58,14. |
| MLA | Guo, Xiaochun,et al."Capture the contagion network of bitcoin - Evidence from pre and mid COVID-19".RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 58(2021):14. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。