Abstract
Abstract. This research employs Capital Asset Pricing Model and foreign exchange exposure theory to explain how the value of financial stocks is affected by the home country cryptocurrency. Previous literature proposed that financial stocks were related to the economic or individual financial ratio, but rarely discussed the impact of a cryptocurrency variable in the digital economy. This paper presents specific findings to prove that cryptocurrency development causes structural change in the financial industry, by examining 67,166 panel data observations from China and Taiwan markets. We offer the following important conclusions: 1. Financial stocks in the China market suffer significantly higher impacts from home country cryptocurrency exposure than the Taiwan market. 2. Financial stocks in the China market are more greatly shocked by the CAPM three factors variables than the Taiwan market. 3. There are significant differences between the two financial markets. 4. The dynamics of the adjustment process of cryptocurrency evolution and the monetary system are key solutions for both markets. Keywords: cryptocurrency, Fin-Tech, Exchange rate Exposure. JEL Classification A14, D82, F65, G12, F3 Formulas: 2; fig.: 0; tabl.: 4; bibl. 31.
Highlights
Чі-Мін Хо кандидат наук з ділового адміністрування (у галузі фінансів), доцент, доцент кафедри фінансів, Південнотайванський університет науки і технологій, Тайвань; ISSN 2306-4994; ISSN 2310-8770
This study introduces exchange exposure to the Capital Asset Pricing Model (CAPM) model to observe how the transmission of cryptocurrency exchange rate affects the value of financial stocks
This paper explores the impact of the development of cryptocurrency on the exchange exposure of financial stocks in two different markets
Summary
Чі-Мін Хо кандидат наук з ділового адміністрування (у галузі фінансів), доцент, доцент кафедри фінансів, Південнотайванський університет науки і технологій, Тайвань; ISSN 2306-4994 (print); ISSN 2310-8770 (online). This paper discusse show the fluctuation of cryptocurrency value impacts cross-border financial products through transmission mechanisms according to literature deduction [17]. This paper adds cryptocurrency exchange exposure as an independent variable to the Capital Asset Pricing Model [19], in order to review how cryptocurrency evolution changes and affects the value of financial stocks. This study introduces exchange exposure to the Capital Asset Pricing Model (CAPM) model to observe how the transmission of cryptocurrency exchange rate affects the value of financial stocks. According to the empirical results, the conclusions of this study are that financial stocks in the China market are subject to a greater impact of cryptocurrency exchange exposure than financial stocks in the Taiwan market.
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