Cryptocurrency and Chinese Stock Market Linkage Analysis before and in the Post-Covid 19 Period -- Based on the DCC-GARCH Model / Bilian LI / 2022

Titre : Cryptocurrency and Chinese Stock Market Linkage Analysis before and in the Post-Covid 19 Period -- Based on the DCC-GARCH Model Type de document : Mémoire Auteurs : Bilian LI Année de publication : 2022 Importance : 23 p. Note générale : Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec votre compte Office 365 via le bouton CONNEXION en haut de page. Langues : Anglais (eng) Mots-clés : Management CRISE ECONOMIQUE ; CRYPTOMONNAIE ; CHINE Résumé : With the improvement of financial markets and the gradual increase of openness, China's financial markets and the world economy are becoming increasingly linked. This study measures the returns of the Chinese stock market and cryptocurrency market in the period before and after COVID-19 epidemic crisis, and uses the DCC-GARCH model to analyze the dynamic correlation between the volatility of the Chinese stock market and cryptocurrency market returns, and to explore whether the Chinese stock market and cryptocurrency market have new characteristics of linkage in the post-COVID-19 epidemic era. The main conclusions of this paper are: first, the level of correlation between Chinese stock market and cryptocurrency market is positive, varying across time. Second, the dynamic correlation coefficients of Chinese stock market and BTC and ETH markets fluctuate between -0.1-0.2 and 0.00-0.10 respectively in the full sample interval, while the static simple correlation coefficients are 0.05 and 0.07 respectively, indicating that the dynamic correlation results are robust. Third, correlations between cryptocurrency and Chinese stock market before and after the COVID-19 period didn’t show a significant difference. Programme : MSc Financial Markets & Technologies Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=565294