数字货币与传统金融市场的风险双向溢出效应研究

选取2013 年4 月30 日至2020 年7 月10 日比特币、黄金、原油、美元、欧元、日元和人民币的日交易数据，基于DY2012 的溢出指数构建法，着重从动态角度刻画风险溢出的演化趋势，并结合国际政治、经济、突发公共卫生事件，对数字货币市场与传统金融市场间的风险溢出路径及机制进行了剖析。结果表明，数字货币与传统金融市场间具有明显的双向风险溢出效应。在国际重大经济政治的影响下，数字货币对各传统金融市场的风险溢出在特定时期具有相似趋势，传统金融市场对数字货币市场的风险溢出并不规律。在新冠疫情的影响下，除人民币外的传统金融市场和数字货币市场的风险溢出指数均处于高位，且有可能持续下去。

Research on the Two-way Spillover Effect of Risk between Cryptocurrency and Traditional Financial Markets

By selecting daily price trading data of Bitcoin, Gold, Crude Oil, U.S. Dollar, Euro, Japanese Yen and Chinese Yuan from April 30, 2013 to July 10, 2020, this article analyzes the path and mechanism of risk spillover between Cryptocurrency and traditional financial markets based on the DY2012 Spillover Index Construction Method to focus on portraying risk spillovers dynamically, in combination with international politics, economy, and public health emergencies. The research results show that there is an obvious two-way risk spillover effect betweenCryptocurrency and traditional financial markets; In addition, the spillover trend of Cryptocurrencies on traditional financial markets is of similarity in a specific period under the influence of major international economics and politics, and the reverse is not obvious; Finally, the risk spillover index of the two markets except CNY is at a high level and likely to continue under the influence of the COVID-19 epidemic.