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Capture the contagion network of bitcoin - Evidence from pre and mid COVID-19
Guo, Xiaochun1,2,3; Lu, Fengbin4,5; Wei, Yunjie4,5
2021-12-01
Source PublicationRESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
ISSN0275-5319
Volume58Pages:14
AbstractCOVID-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.
KeywordBitcoin COVID-19 Contagion DAG Financial market risk
DOI10.1016/j.ribaf.2021.101484
Indexed BySCI
Language英语
Funding ProjectNational Natural Science Foundation of China[71801213] ; National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[72042019]
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000696997700008
PublisherELSEVIER
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/59306
Collection中国科学院数学与系统科学研究院
Corresponding AuthorWei, Yunjie
Affiliation1.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
Recommended Citation
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.
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