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.