Systemic risk-sharing framework of cryptocurrencies in the COVID-19 crisis

【Author】 Akhtaruzzaman, Md; Boubaker, Sabri; Nguyen, Duc Khuong; Rahman, Molla Ramizur

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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

【发表时间】2022 JUN

【收录时间】2022-07-10

【文献类型】理论性文章

【主题类别】

区块链治理-市场治理-数字货币