Spillover Effects of Bitcoin on Northeast Asian Stock Markets

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Key Points

This research analyzes the dynamic interdependence between Bitcoin and stock markets in Northeast Asia, specifically focusing on periods before, during, and after the COVID-19 pandemic.
Utilized vector autoregression (VAR) model to measure interdependence and spillover effects between Bitcoin and stock markets.
Employed Diebold and Yilmaz (2009) approach for transfer effects analysis.
Divided analysis into periods: before COVID-19, during COVID-19, and after COVID-19.
During the COVID-19 period, the spillover effect of Bitcoin on stock markets increased significantly due to greater financial market uncertainty and increased global liquidity.
Post COVID-19, the relationship between Bitcoin and stock markets decreased compared to the COVID period but remained higher than before COVID-19.
The impact of Bitcoin in the Chinese stock market was relatively limited due to cryptocurrency regulations.

Analyzes spillover effects of Bitcoin on stock markets in Northeast Asia, highlighting financial market interactions.

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Lee et al. (2026) studied this question.

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