Dynamic Connectedness and Fractal Connectivity Analysis Among Cryptocurrency, Innovative Technology Communication, and Fintech

Abstract

This study explores the dynamic connectedness and multivariate connectivity among Bitcoin, Innovative Technology Communication, and FinTech indices. We adopt both the TVP-VAR model and the wavelet-based multivariate long-memory approach. Bitcoin contributes/receives a low level of shocks from these sectors. 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.

Keywords: Innovative Technology Communication, Bitcoin, Ethereum, Fractal connectivity