Narrow Results

By taking Bitcoin, Ethereum, and Ripple as research objects, this paper applies the multifractal detrended partial cross-correlation analysis (MF-DPXA) to study the intrinsic cross-correlation between cryptocurrencies. Combining MF-DPXA and time-delay DCCA methods, we develop the removing factors time-delayed detrended cross-correlation analysis (R-TD-DCCA) to study the risk transmission direction between cryptocurrencies after removing the influence of common factors. The results show that after removing the influence of cryptocurrencies, the persistence of the cross-correlation between cryptocurrencies is enhanced, and the multifractal degrees of the cross-correlation between Bitcoin and Ethereum and between Ethereum and Ripple are increased, but the multifractal degree of the cross-correlation between Bitcoin and Ripple is weakened. However, after removing the influence of the S&P 500 index, the multifractal degree of the cross-correlation between cryptocurrencies has weakened. The Hurst exponent of local dynamic cross-correlation between cryptocurrencies is almost always greater than 0.5. With the increase in time delay, the risk of Bitcoin is mainly transmitted to Ethereum and Ripple, and the risk of Ripple is mainly transmitted to Ethereum. When removing the impact of the S&P 500 index, the short-term risk of Bitcoin is mainly transmitted to Ethereum and Ripple. The findings of this study have several implications for re-understanding the intrinsic interdependence structure and portfolios.

This paper mainly studies the interdependence structure and risk transmission between China’s north–south capital flow and the stock market and foreign exchange market. The results show that the correlation between southward capital and the mainland stock market is stronger, and the correlation between northward capital and the Hong Kong stock market is stronger. The correlation between northward capital and RMB exchange rate is greater than that between southward capital and RMB exchange rate. After the outbreak of COVID-19, the correlation between capital flows and the stock market has strengthened, while the correlation with the foreign exchange market has weakened. Furthermore, there is a bidirectional risk transmission between the north–south capital flow and China’s stock market and foreign exchange market. In general, the north–south capital flow has a greater impact on the stock market, and the exchange rate of RMB/US dollar has a greater impact on the north–south capital flow. This study has implications for investors and policymakers.