A Note on the Relationship Between Stock Market Volatility and Cryptocurrencies: New Evidence From China–US Trade Frictions
研究中美贸易摩擦背景下加密货币与中美股市的波动溢出效应，发现加密货币可作为中国股市的短期对冲和长期避险资产，并能分散投资组合风险。
ABSTRACT In the context of China–US trade friction, we use the TVP‐VAR, SHAP, DECO, and CDB model to test the spillover volatility, hedging, safe haven, and portfolio returns of cryptocurrencies based on daily data of Bitcoin, Ethereum, Litecoin, Ripple, CSI300 Index, Shanghai Composite Index, S&P500 Index, and Nasdaq Index. The results show a significant short‐term time‐varying asymmetric volatility spillover effect between cryptocurrencies and the US and Chinese stock markets. Cryptocurrencies can be used as short‐term hedging assets for the Chinese stock market. The evidence also shows no long‐term correlation between cryptocurrencies and the stock market. Therefore, in periods of volatility caused by trade friction between the two countries, such as the imposition of high tariffs, investors can regard cryptocurrencies as short‐term hedging assets and long‐term safe haven assets to mitigate losses caused by stock market fluctuations. In addition, adding cryptocurrencies to stock index portfolios can significantly diversify risks and increase returns.