Clustered Connectedness and the Financial Integration of Cryptocurrency: Evidence Across Global Asset Classes

This archive contains the data, R code, and output needed to reproduce all results in the paper “Clustered Connectedness and the Financial Integration of Cryptocurrency: Evidence Across Global Asset Classes”. The sample covers daily adjusted closing prices for twelve assets in five clusters (equities, bonds, commodities, foreign exchange, cryptocurrency) from 9 November 2017 to 30 September 2026 (2,319 log returns), retrieved from Yahoo Finance on 4 November 2026. The main script, FULL_PIPELINE_FRESH_RUN.R, runs the full analysis: clustered connectedness estimation, rolling-window estimates, robustness checks and the 120-ordering audit. Supporting scripts check the horizon convention (C3_horizon_check.R), the ordering audit (A3_ordering_audit.R), the sign of the pairwise table (FIX_NPDC_SIGN.R) and the figures at 600 dpi (FIGURES_600DPI.R). The folder also holds the saved R objects, result tables in CSV, the six manuscript figures, and the run log, session information and file checksums. See README.md for the file list and reproduction steps. Note: re-downloading prices from Yahoo Finance may give slightly different later decimals because Yahoo revises adjusted prices. The exact series used in the paper is saved in paper1_data.rds. Price data are subject to Yahoo Finance’s terms of use.