Bitcoin spillovers: A high‐frequency cross‐asset analysis
利用高频数据研究比特币价格跳跃和波动对传统资产的溢出效应，发现比特币对风险资产有正向溢出、对防御资产有负向溢出，且美国企业对区块链和加密货币技术的经济敞口加剧了这种风险传导。
Abstract This study examines the spillover of Bitcoin's jumps and diffusive variations to traditional assets using high‐frequency data. For our cross‐asset analysis, we detect positive spillovers from Bitcoin to risk assets and negative spillovers to defensive assets. We also find evidence of positive jump and diffusion spillovers from Bitcoin to U.S. equity sectors, particularly the financials, technology, consumer discretionary, and communication services sectors. By examining the source of these risk transmissions, we show that these spillovers are exacerbated by increased economic exposures to blockchain and cryptocurrency technologies by U.S. companies. The empirical findings reveal that the price fluctuations of an unregulated asset such as Bitcoin can materially affect the price dynamics of regulated assets.