【Author】
Akhtaruzzaman, Md; Boubaker, Sabri; Nguyen, Duc Khuong; Rahman, Molla Ramizur
【Source】FINANCE RESEARCH LETTERS
【Abstract】We use the Conditional Value-at-Risk (CoVaR) model to develop the systemic contagion index (SCI) for cryptocurrencies and examine their spillover effects. The SCI exhibits the highest value during the COVID-19 period, indicating evidence of pandemic-driven contagion channels. Similarly, cryptocurrency systemic networks show that the COVID-19 period induced increased interconnections, highlighting a higher number of systemic contagion channels. Our study has practical implications for investors to identify the systemic vulnerability of each cryptocurrency and make informed decisions during the crisis and non-crisis periods.
【Keywords】Cryptocurrencies; Systemic risk; Contagion; Systemic network; CoVaR; COVID-19
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