Understanding the FTX exchange collapse: A dynamic connectedness approach

【Author】 Akyildirim, Erdinc; Conlon, Thomas; Corbet, Shaen; Goodell, John W.

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】Employing a TVP-VAR dynamic connectedness analysis, we identify avenues through which the collapse of the FTX exchange manifested contagion effects throughout a number of financial markets. Results indicate that interaction effects become significantly pronounced, coinciding with key milestones during the collapse of FTX and related companies. Specifically, sources of contagion stem from two tokens created by the exchange and related companies, namely FTT Token and Serum. Such results further develop the expanding literature based on the inherent contagion effects of such unregulated products.

【Keywords】TVP-VAR; Dynamic connectedness; GARCH; Fraud; Cryptocurrency; Tokens

【发表时间】2023 MAY

【收录时间】2023-05-17

【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