Abstract
This research incorporated virtual currency development factors into the capital asset pricing model (CAPM) and interpreted the effects of bitcoin and fin-tech on the capital market through a deduction of the portfolio theory and innovation diffusion theory (IDT) on changes to financial stocks’ value. This paper examined a total of 67,166 panel data of financial stocks in the two emerging markets of Taiwan and China between July 2016 and April 2019, presenting the following significant findings. (1) Financial stocks in Taiwan’s market are more greatly shocked by the bitcoin and interaction effect between bitcoin and fin-tech than those in China’s market. (2) Even after changing proxy variable or autocorrelation and heteroskedasticity are considered, the asymmetric shocks on financial stocks in Taiwan’s market are still great. (3) The effects of the two variables of bitcoin and interaction with fin-tech on financial stocks are consistently important as the three-factor CAPM model. (4) Transmitted by the changes in currency supply and demand as well as exchange rate volatilities, the spillover effects of virtual currencies and financial innovation indirectly change the currency multiplier of the home country, investors’ sensibility to interest rates, and balance of import and export trades and may eventually impact the gross outputs and inflation of individual economies.
Highlights
Bitcoin transactions have risen rapidly, and fin-tech formed by using block chain technology has attracted attention, and gradually become the mainstream of the digital economy and influence financial markets (Barson, 2015; Gkillas & Katsiampa, 2018)
The virtual currency data come from the bitcoin index (NYXBT) of the New York Stock Exchange (NYSE), along with data of the fin-tech index (KFTX) from the Nasdaq Stock Market, and financial stock price data and control variables of the two emerging markets are from the Taiwan Economic Journal (TEJ)
According to the cross-term (D1ÃBIÃFTI) coefficient of the interaction (BIÃFTI) between bitcoin index and fin-tech index in Table 4, there is significantly and negatively correlated with excess return per stock (Ri À Rf ) (-0.139097, p < 0.01) - that is, Taiwan’s market does not support to incorporate virtual currency development into financial supervision, but is only willing to carry out fin-tech innovations, and its financial stocks are greatly shocked by system asymmetry, which supports H2
Summary
Bitcoin transactions have risen rapidly, and fin-tech (financial technology) formed by using block chain technology has attracted attention, and gradually become the mainstream of the digital economy and influence financial markets (Barson, 2015; Gkillas & Katsiampa, 2018). The disadvantages are that the transaction or investment models are completely changed once payments are done, and the situations of banks’ traditional spread models and earning service charges from insurers are declining; in other words, the evolution of virtual currencies may change the face of the financial industry significantly. Guesmi, Saadi, Abid, and Ftiti (2019) indicated that bitcoin has significant hedging effects, and spills over the connotation of virtual currency value changes into the commodities and corporate financial variables in the financial industry through transmission mechanisms. After investigating the statistical properties of bitcoin, Eom, Kaizoji, Kang, and Pichl (2019) found that investors’ sentiment and monetary assets have significant impacts on bitcoin volatilities
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
