Interdependence, contagion and speculative bubbles in cryptocurrency markets

【Author】 Bazan-Palomino, Walter

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】After detecting several bubbles during 2015-2022, this study investigates the impact of the two biggest bubbles - those of 2017 and 2021 - on interdependence and contagion among cryptocurrencies. Interdependence declines during these bubbles relative to the post-bubble periods, and there is strong evidence of contagion over the whole sample and in the post-2021 bubble period. To illustrate their impact, optimal weights, volatility, and expected shortfall of a global minimum variance portfolio are examined. While volatility is higher during bubbles, the expected shortfall is stronger in the post-bubble periods. My results provide useful information for risk management and derivative pricing.

【Keywords】Interdependence; Contagion; Bubbles; Global minimum variance portfolio

【发表时间】2022 OCT

【收录时间】2022-08-15

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析