This paper categorizes Australian listed cryptocurrency-linked stocks (CLS) by their involvement as a user, developer and diffuser, and investor of blockchain technology and cryptocurrencies based on company announcements and published information on the company websites. By distinguishing CLS engagement with blockchain technology, we examine their returns and volatility spillover with the cryptocurrency market over the period 1 September 2017 to 7 June 2018, spanning important episodes and dynamics in the cryptocurrency market in 2017-2018, and the emergence of Australian CLS. Utilizing the Diebold and Yilmaz (2012) spillover methodology, we find significant unidirectional return spillover and weak volatility spillover from the cryptocurrency market to CLS, after controlling return dynamics of the Australian dollar, Gold and commodity. However, CLS with high involvement in blockchain technology displays stronger connectedness to the cryptocurrency market through return spillover relative to low involvement CLS. Our findings indicate that investors incorporate the price dynamics of cryptocurrencies into their trading decisions for CLS.

本文根据公司公告和公司网站上发布的信息，将澳大利亚上市的加密货币相关股票（CLS）分类为区块链技术和加密货币的用户、开发商和传播者以及投资者。通过区分 CLS 与区块链技术的关系，我们研究了它们在 2017 年 9 月 1 日至 2018 年 6 月 7 日期间与加密货币市场的回报和波动溢出，涵盖了 2017-2018 年加密货币市场的重要事件和动态，以及澳大利亚 CLS 的出现. 利用 Diebold 和 Yilmaz (2012) 溢出方法，我们发现在控制了澳元、黄金和商品的回报动态后，从加密货币市场到 CLS 的显着单向回报溢出和弱波动溢出。然而，与低参与度 CLS 相比，高度参与区块链技术的 CLS 通过回报溢出显示出与加密货币市场的更强联系。我们的研究结果表明，投资者将加密货币的价格动态纳入他们的 CLS 交易决策中。