Data for: Connectedness and spillover effect between cryptocurrency and financial assets

Cryptocurrencies have quickly become one type of important financial
asset. Accordingly, it is important to understand the interaction between
cryptocurrency and other financial asset markets. However, previous
literature paid less attention to the correlation between the price trend
of cryptocurrencies and other financial assets. Using the vector
autoregression model, we analyzed price correlation and spillover effect
between cryptocurrencies and financial assets between November 2017 and
February 2022. The study concludes that stock price has a spillover effect
on cryptocurrencies, government bonds, and precious metals. The research
results are useful while allocating portfolios or hedge strategies that
include cryptocurrencies and financial assets such as stocks, government
bonds, and precious metals.