The impact of regulatory ban on connectedness of cryptocurrency market

ABSTRACT

This article employs the DCC-GARCH-based approach proposed by Gabauer (2020) to measure the connectedness of the cryptocurrency market, and whether the connectedness indexes became significantly different after China issued the regulatory ban in May 2021. The empirical finding suggests that the cryptocurrency market became significantly more interconnected after the ban was issued. Furthermore, we find that the net connectedness indexes of the majority of cryptocurrencies in the sample changed significantly after the ban. Among all the studied cryptocurrencies, Bitcoin is the largest net volatility receiver and Solana is the largest net volatility transmitter.

KEYWORDS:

• Cryptocurrency
• connectedness
• regulatory ban
• volatility transmit

JEL CODES:

• G14
• G15
• G18

Disclosure statement

No potential conflict of interest was reported by the author(s).