An empirical study of risk diffusion in the cryptocurrency market based on the network analysis

【Author】 Yang, Ming-Yuan; Wu, Zhen-Guo; Wu, Xin

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This paper studies the risk diffusion in the cryptocurrency market during the period from 2018 to 2021 based on the network analysis. By comparing the network topologies of cryptocurrency, stock and foreign exchange networks, we find that risks may diffuse more easily in the cryptocurrency market rather than traditional financial markets. We also measure the breadth and depth of risk diffusion for cryptocurrencies, and build panel regression models to identify what contributes to the risk diffusion. Our findings show that cryptocurrencies with large market capitalization, and others that experience decline in prices or low-turnover also contribute to the risk diffusion.

【Keywords】Cryptocurrency market; Risk diffusion; Network analysis

【发表时间】2022 DEC

【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