Exploring connectedness among cryptocurrency, technology communication, and FinTech through dynamic and fractal analysis

Abstract

This study explores the dynamic connectedness and multivariate connectivity among Bitcoin, Innovative Technology Communication (ITC), and FinTech indices. Using TVP-VAR model and wavelet-based multivariate long-memory approach., we find that Bitcoin contributes/receives a low level of shocks from these sectors. The evidence suggests that Bitcoin is not connected much with these two sectors and their variations are mostly driven by idiosyncratic factors. Then, obtaining the fractal connectivity clustering provides new evidence of a similarity in fractal dynamic among the FinTech and Innovative Technology sectors, while Bitcoin is clustered away from the two sectors. When we use Ethereum, in place of Bitcoin, the results are identical. Finally, we document the role of various risk factors on the connectedness.