Capture the contagion network of bitcoin - Evidence from pre and mid COVID-19

doi:10.1016/j.ribaf.2021.101484

CSpace

	Capture the contagion network of bitcoin - Evidence from pre and mid COVID-19
	Guo, Xiaochun 1,2,3; Lu, Fengbin 4,5; Wei, Yunjie 4,5
	2021-12-01
发表期刊	RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
ISSN	0275-5319
卷号	58 页码:14
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.
关键词	Bitcoin COVID-19 Contagion DAG Financial market risk
DOI	10.1016/j.ribaf.2021.101484
收录类别	SCI
语种	英语
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
WOS类目	Business, Finance
WOS记录号	WOS:000696997700008
出版者	ELSEVIER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/59306
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.