【Author】
Jiang, Wen; Xu, Qiuhua; Zhang, Ruige
【Source】FINANCE RESEARCH LETTERS
【Abstract】We investigate the tail risk spillover effects between cryptocurrencies and conventional assets from a systemic risk perspective, by constructing a large tail-event driven network. The results provide strong evidence for the existence of tail-risk spillovers, which challenges most literature stating the detachment of Bitcoin from traditional assets. Moreover, this paper finds two significant network factors in explaining the return of cryptocurrencies. Specifically, the risk contagion occurs under extreme market conditions, while the network diversification happens only when the market is under distress. Further sub-market analysis finds that cryptocurrencies are impacted more than stocks by the massive selloff during bear markets.
【Keywords】Cryptocurrency; CoVaR; Network; Adjacency matrix; Risk spillover; Systemic risk
评论