Return spillover analysis across central bank digital currency attention and cryptocurrency markets

Wang, Yizhi, Wei, Yu, Lucey, Brian M. and Su, Yang 2023. Return spillover analysis across central bank digital currency attention and cryptocurrency markets. Research in International Business and Finance 64 , 101896. 10.1016/j.ribaf.2023.101896 Item availability restricted.

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Abstract

Many central banks have now developed their digital currencies in response to the challenges posed by the proliferation of decentralised 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 provide a reference for them to formulate policies.

Item Type:	Article
Date Type:	Published Online
Status:	Published
Schools:	Business (Including Economics)
Additional Information:	License information from Publisher: LICENSE 1: URL: http://creativecommons.org/licenses/by-nc-nd/4.0/, Start Date: 2026-02-10
Publisher:	Elsevier
ISSN:	0275-5319
Date of First Compliant Deposit:	17 February 2023
Date of Acceptance:	30 January 2023
Last Modified:	29 Nov 2023 18:06
URI:	https://orca.cardiff.ac.uk/id/eprint/156985

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