Purpose

This study provides a comprehensive analysis of the potential contagion of Bitcoin on financial markets and sheds light on the complex interplay between technological advancements, accounting regulatory and financial market stability.

Design/methodology/approach

The study employs a multi-faceted approach to analyze the impact of BTC systemic risk, technological factors and regulatory variables on Asia–Pacific financial markets. Initially, a single-index model is used to estimate the systematic risk of BTC to financial markets. The study then uses ordinary least squares (OLS) to assess the potential impact of systemic risk, technological factors and regulatory variables on financial markets. To further control for time-varying factors common to all countries, a fixed effect (FE) panel data analysis is implemented. Additionally, a multinomial logistic regression model is utilized to evaluate the presence of contagion.

Findings

Results indicate that Bitcoin's systemic risk to the Asia–Pacific financial markets is relatively weak. Furthermore, technological advancements and international accounting standard adoption appear to indirectly stabilize these markets. The degree of contagion is also found to be stronger in foreign currencies (FX) than in stock index (INDEX) markets.

Research limitations/implications

This study has several limitations that should be considered when interpreting the study findings. First, the definition of financial contagion is not universally accepted, and the study results are based on the specific definition and methodology. Second, the matching of daily financial market and BTC data with annual technological and regulatory variable data may have limited the strength of the study findings. However, the authors’ use of both parametric and nonparametric methods provides insights that may inspire further research into cryptocurrency markets and financial contagions.

Practical implications

Based on the authors analysis, they suggest that financial market regulators prioritize the development and adoption of new technologies and international accounting standard practices, rather than focusing solely on the potential risks associated with cryptocurrencies. While a cryptocurrency crash could harm individual investors, it is unlikely to pose a significant threat to the overall financial system.

Originality/value

To the best of the authors knowledge, they have not found an asset pricing approach to assess a possible contagion. The authors have developed a new method to evaluate whether there is a contagion from BTC to financial markets. A simple but intuitive asset pricing method to evaluate a systematic risk from a factor is a single index model. The single index model has been extensively used in stock markets but has not been used to evaluate the systemic risk potentials of cryptocurrencies. The authors followed Morck et al. (2000) and Durnev et al. (2004) to assess whether there is a systemic risk from BTC to financial markets. If the BTC possesses a systematic risk, the explanatory power of the BTC index model should be high. Therefore, the first implied contribution is to re-evaluate the findings from Aslanidis et al. (2019), Dahir et al. (2019) and Handika et al. (2019), using a different method.

中文翻译：

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加密货币走向东方：利用资产定价分析亚太金融市场的比特币、技术和监管蔓延

目的

这项研究对比特币对金融市场的潜在蔓延进行了全面分析，并揭示了技术进步、会计监管和金融市场稳定之间复杂的相互作用。

设计/方法论/途径

该研究采用多方面的方法来分析BTC系统性风险、技术因素和监管变量对亚太金融市场的影响。最初，使用单一指数模型来估计 BTC 对金融市场的系统性风险。然后，该研究使用普通最小二乘法（OLS）来评估系统性风险、技术因素和监管变量对金融市场的潜在影响。为了进一步控制所有国家共有的时变因素，实施了固定效应（FE）面板数据分析。此外，还利用多项逻辑回归模型来评估传染的存在。

发现

结果表明，比特币对亚太金融市场的系统性风险相对较弱。此外，技术进步和国际会计标准的采用似乎间接稳定了这些市场。研究还发现，外币（FX）市场的传染程度比股指（INDEX）市场更强。

研究局限性/影响

这项研究有一些局限性，在解释研究结果时应考虑这些局限性。首先，金融传染的定义尚未得到普遍接受，研究结果基于具体的定义和方法。其次，每日金融市场和比特币数据与年度技术和监管变量数据的匹配可能限制了研究结果的力度。然而，作者对参数和非参数方法的使用提供了一些见解，可能会激发对加密货币市场和金融传染的进一步研究。

实际影响

根据作者的分析，他们建议金融市场监管机构优先考虑新技术和国际会计准则实践的开发和采用，而不是仅仅关注与加密货币相关的潜在风险。虽然加密货币崩盘可能会损害个人投资者，但不太可能对整个金融体系构成重大威胁。

原创性/价值

据作者所知，他们尚未找到一种资产定价方法来评估可能的传染。作者开发了一种新方法来评估 BTC 是否向金融市场蔓延。单一指数模型是一种简单但直观的资产定价方法，用于评估某个因素的系统风险。单一指数模型已广泛应用于股票市场，但尚未用于评估加密货币的系统性风险潜力。作者遵循莫克等人的观点。(2000) 和 Durnev等人。(2004) 评估 BTC 是否对金融市场存在系统性风险。如果BTC存在系统性风险，那么BTC指数模型的解释力应该很高。因此，第一个隐含的贡献是重新评估 Aslanidis等人的研究结果。(2019)，达希尔等人。(2019) 和 Handika等人。（2019），使用不同的方法。