The advance of cryptocurrencies has sparked wide concern over their interplay with the existing global financial market. This paper analyzes the risk spillover relation between cryptocurrencies and major financial assets, and unravels how cryptocurrencies could influence global financial systemic risk. We find that cryptocurrencies function as a separate risk source from traditional assets. Major legislative, financial and technological events in the cryptocurrency market may affect risk spillover dynamics. Although the overall penetration of cryptocurrencies is not yet deep, introducing cryptocurrency can significantly increase the systemic risk to traditional markets during low risk level episodes.

中文翻译：

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加密货币会增加全球金融市场的系统性风险吗？

加密货币的发展引发了人们对其与现有全球金融市场之间相互作用的广泛关注。本文分析了加密货币与主要金融资产之间的风险溢出关系，并阐明了加密货币如何影响全球金融系统性风险。我们发现，加密货币是与传统资产分离的独立风险源。加密货币市场中的重大立法，金融和技术事件可能会影响风险溢出动态。尽管加密货币的整体渗透尚未深入，但在低风险级别事件发生时，引入加密货币可能会显着增加传统市场的系统风险。