Tail-event driven network of cryptocurrencies and conventional assets

【Author】 Jiang, Wen; Xu, Qiuhua; Zhang, Ruige

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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

【发表时间】2022 MAY

【收录时间】2022-07-10

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币