Professor Xianming Sun, Executive Deputy Director of the Base, has published his paper entitled Quantile Spillover Effect among Cryptocurrency and Financial Markets in Regulated Environment in Finance Research Letters, a prestigious academic journal.

摘要：This study investigates the risk spillovers among the cryptocurrency market and financial markets—stock, bond, foreign exchange, and money—in China and Singapore, highlighting heterogeneity under different quantiles and cryptocurrency regulations. Utilizing Quantile-Vector Autoregression (QVAR) model, we find that in both countries, static spillovers are more pronounced at extreme quantiles than under normal market conditions. Compared with Singapore, China’s cryptocurrency prohibition reduces spillovers between cryptocurrency and stock markets but increases spillovers between cryptocurrency and foreign exchange markets. Additionally, this prohibition amplifies total spillovers among the five markets at extreme quantiles, primarily driven by the spillover from the money market to the cryptocurrency market.

关键词：Cryptocurrency, Financial markets, Spillover, Quantile, Cryptocurrency regulation

论文链接：https://doi.org/10.1016/j.frl.2025.108630

教师简介

Xianming Sun is an professor and department head of the Financial Engineering Department at Zhongnan University of Economics and Law, as well as the Executive Deputy Director of the Innovation and Talent Base for Digital Technology and Finance. His research focuses on financial engineering, financial technology, and related fields, with his research findings published in journals such as Journal of Economic Dynamics and Control, Journal of Economic Behavior & Organization, Journal of Futures Markets, Accounting and Finance, and Energy Economics. He has been honored as a "Wenlan Young Scholar" at Zhongnan University of Economics and Law and has led research projects funded by the National Natural Science Foundation of China and the Fundamental Research Funds for the Central Universities. His related research has won the Excellent Paper Award at the 16th China Finance Engineering Annual Conference.