Abstract
In this paper, we constructed a volatility spillover index based on the time-varying parameter vector autoregressions (TVP-VAR) model to study the asymmetric volatility spillover effect between cryptocurrency and China's financial market. Our results show that the impact of cryptocurrency on China's financial market is relatively strong, but the impact of China's financial market on cryptocurrency is very weak. Furthermore, negative spillovers are stronger than positive spillovers. The average negative volatility spillover is dominant for Bitcoin and Ethereum, but the average positive volatility spillover is dominant for Ripple. This study has implications for investors and policymakers.
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