Return spillover analysis across central bank digital currency attention and cryptocurrency markets
| dc.contributor.author | Wang,Yizhi | |
| dc.contributor.author | Wei, Y. | |
| dc.contributor.author | Lucey, B.M. | |
| dc.contributor.author | Su, Y. | |
| dc.contributor.author | Zhang ,Hui | |
| dc.date.accessioned | 2024-02-16T10:40:32Z | |
| dc.date.available | 2024-02-16T10:40:32Z | |
| dc.date.issued | 2023-01 | |
| dc.description | With the development of technology and finance, people’s lifestyles are gradually turning digital. As a medium of economic exchange, money has also gradually undergone a revolution, from the old shells, ordinary metal money, precious metal money, paper money, and now the latest digital currency (Davies, 2010, Wang et al., 2022c). The need for physical cash is diminishing as the digital age dawns. | |
| dc.description.abstract | Many central banks have now developed their digital currencies in response to the challenges posed by the proliferation of decentralized digital cryptocurrencies. However, little is known about the effects of the introduction of central bank digital currencies (CBDCs) on extant digital cryptocurrencies. This paper, therefore, aims to identify both the time- and frequency-domain spillover effects among cryptocurrency markets and a newly developed central bank digital currencies attention index (CBDCAI) by using two TVP-VAR-based spillover models. Our results demonstrate that CBDC attention significantly impacts cryptocurrency markets. Also, most investors in cryptocurrency markets are more likely to trade in the short term. The results of this study contribute to helping investors and investment institutions effectively avoid investment risks, reduce losses, and predict the return of some cryptocurrencies. Also help policymakers better understand the impact of markets and policies, and provides a reference for them to formulate policies. keywords: central bank, digital currency, cryptocurrency, Bitcoin | |
| dc.identifier.citation | Wang, Y., Wei, Y., Lucey, B. M., & Su, Y. (2023). Return spillover analysis across central bank digital currency attention and cryptocurrency markets. Research in International Business and Finance, 64, 101896. | |
| dc.identifier.doi | https://doi.org/10.1016/j.ribaf.2023.101896 | |
| dc.identifier.uri | https://dspace.adu.ac.ae/handle/1/1138 | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.title | Return spillover analysis across central bank digital currency attention and cryptocurrency markets | |
| dc.type | Article |