Short-Term Spillover Effects in High-order Moments of Stocks, Foreign Currency Exchange and Bitcoin with Intraday Data

This paper employs Granger causality analysis and the generalized impulse response function (GIRF) to study the higher-order moment spillover effects among Bitcoin, stock markets, and foreign exchange markets in the U.S. Using intraday high-frequency data, the research focuses on the interactions across higher-order moments, including volatility, jumps, skewness, and kurtosis. The results reveal significant bidirectional spillover effects between Bitcoin and traditional financial assets, particularly in terms of volatility and jump behavior, indicating that the cryptocurrency market has become a crucial component of global financial risk transmission. This study provides new theoretical perspectives and policy recommendations for global asset allocation, market regulation, and risk management, underscoring the importance of proactive management measures in addressing the complex risk interactions between cryptocurrencies and traditional financial markets.