Bubbles and crashes in cryptocurrencies: Interdependence, contagion, or asset rotation?

【Author】 Chowdhury, Md Shahedur R.; Damianov, Damian S.; Elsayed, Ahmed H.

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts and a net receiver during booms. Analysis of the timing of bubble and crash periods uncovers the presence of interdependence and contagion effects. Asset dynamics is driven to a great extent by the technology, in particular the consensus protocol of cryptocurrencies. There is only limited evidence for asset rotation, and it involves mostly Ripple.

【Keywords】Cryptocurrencies; Interdependence; Contagion; Rotation; Bubbles; Crashes

【发表时间】2022 MAY

【收录时间】2022-07-25

【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