Abstract: Cryptocurrencies based on blockchain technology have received widespread attention, and financial risks caused by market turbulence have begun to spread to traditional financial markets. Based on the overflow index construction method of Diebold and Yilmaz (2012), this article selects Bitcoin, gold, crude oil, USD, EUR, JPY and CNY price-day transaction data from April 30, 2013 to May 27, 2020, measures the volatility spillover index of cryptocurrencies and traditional financial markets from a static perspective, describes the trend of the volatility spillover index from a dynamic perspective, and further interprets the dynamic estimation results in conjunction with specific events related to the peak of the spillover. The results show that there is a risk transmission channel between cryptocurrency and traditional financial markets; the volatility spillover index between the two changes with time as well; and the trend of digital currency spillovers to traditional financial markets is similar in specific periods.Meanwhile, this study points out that global political and economic events are the external factors affecting the cryptocurrency's volatility spillovers to traditional financial markets, and the bubbles of cryptocurrency price are the internal factors. It is found that Bitcoin's response to the CNY's volatility spillover index was more sensitive to the effects of specific events.

Key words: Cryptocurrency, Traditional Financial Markets, Dynamic Spillover, Directional Spillover Index

摘要： 基于区块链技术的数字货币受到广泛关注,其市场动荡引发的金融风险开始向传统金融市场蔓延。本文选取2013年4月30日至2020年05月27日比特币、黄金、原油、美元、欧元、日元和人民币的价格日交易数据,以溢出指数构建法从静态角度测度数字货币与传统金融市场的波动溢出指数,并从动态角度刻画波动溢出指数变化趋势,进一步结合溢出峰值相关的特定事件对动态估计结果进行解释。结果表明:数字货币与传统金融市场间存在风险传递渠道;二者之间的波动溢出指数随时间变化的幅度较大;数字货币对各传统金融市场的溢出趋势在特定时期具有相似性;全球政治经济事件和数字货币市场泡沫分别是影响数字货币对传统金融市场波动溢出的外部因素和内部因素;比特币对人民币的波动溢出指数在特定事件影响下反应更为敏感。

关键词: 数字货币, 传统金融市场, 动态溢出, 方向性溢出指数