| More and more investors enter into the cryptocurrency market because of Bitcoin.The volatile price of cryptocurrency is extremely attractive to them and the cryptocurrency market is known for the high risk.With the accumulation of the risk,it will transmit to other markets and results in global financial risk.Therefore,it is important to analyze the risk spillover characteristics between cryptocurrency market and traditional financial market.This paper chooses bitcoin market as the representative of cryptocurrency market,Shanghai Composite Index and NASDAQ Composite index as the representative of domestic and overseas capital market,gold and crude oil market as the representative of commodity market,and divides into three parts to study the risk spillover of cryptocurrency and traditional financial market.First,study the volatility of the five markets using ARMA-GARCH models.TGarch(1,1)model was chosen for the best results.It was found that all the five markets had volatility aggregation,especially bitcoin and crude oil.By constructing the DCC-Copula function,the correlation of the bitcoin market and the four markets in the traditional financial market is studied under time-varying conditions.The correlation of the middle part is studied by using DCC-t-Copula,and the correlation of the tail is studied by using time-varying SJC-Copula.The results show that the correlation between Bitcoin and NASDAQ Composite Index is the highest,while the correlation between Bitcoin and Shanghai Composite Index is the lowest,and both are tail asymmetric structure.Finally,VaR and CoVaR are used to study the risk spillover.It is found that there is asymmetric two-way risk spillover between the two markets by calculating the Va R and CoVaR of bitcoin-Shanghai Composite Index,Bitcoin-NASDAQ Composite Index,Bitcoin-crude oil and bitcoin-gold.Due to the existence of risk spillover,regulators and investors should pay attention to it when formulating policies or investment strategies. |
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