Connectedness and spillover effect between cryptocurrency and financial assets
Data files
May 03, 2023 version files 219.75 KB
Abstract
Methods
The study downloads cryptocurrencies and other financial assets data through the price information website investing.com. We wrote a letter to the source website to inquire whether it is possible to use the data for analysis and writing a paper, and received a positive response.
We collect price data of the daily transaction. The data period is from November 2017 to February 2022. Cryptocurrencies are traded 24 hours a day. However, stock, bonds, and other financial assets are traded only on business days. We exclude the transaction data of the stock market close day. As a result, we obtain 1087 price data of cryptocurrency and other assets. The return rate is calculated by taking the price to one order difference. Volatility is calculated in the same way as studied by Diebold and Yilmaz (2012), estimated by subtracting the maximum and minimum prices of the day.