【Author】 Zeng, Xinru; Li, Zhiyong; Yang, Weiwei; Huang, Zhengyang
【Source】INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING
【影响因子】0.000
【Abstract】In this paper, we measure the risk interdependence of 12 major cryptocurrencies before and during the COVID-19 pandemic, based on a GARCH-Copula-VaR approach and a dynamic network analysis. We find that cryptocurrencies generally show high levels of volatility, speculation, homogeneity and tail risk contagion. Furthermore, the COVID-19 pandemic has a continuous impact on the cryptocurrency market. When financial institutions are increasingly investing in crypto assets, the hidden risks in the cryptocurrency market remain high. Therefore, this paper calls for attention on the cryptocurrency market from both investors and regulators.
【Keywords】Cryptocurrencies; risk interdependence; network analysis; COVID-19 pandemic
【发表时间】2022 DEC
【收录时间】2023-01-14
【文献类型】观点阐述
【主题类别】
区块链治理-市场治理-数字货币
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