Connectedness between cryptocurrencies using high-frequency data: A novel insight from the Silicon Valley Banks collapse

【Author】 Ali, Shoaib; Moussa, Faten; Youssef, Manel

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】The collapse of Silicon Valley Bank (SVB), a tech industry bank, has shaken the global financial markets, including cryptocurrencies; therefore, this study intends to investigate the return and volatility spillovers between leading cryptocurrencies using high-frequency data and the TVPVAR model. The results indicate that the total return connectedness had increased in the aftermath of the collapse, but the volatility connectedness remains unchanged. Moreover, conventional (stablecoins) cryptocurrencies are the net transmitter (recipient) of return and volatility spillovers from the system. The results of this study have important implications for investors and portfolio managers seeking to safeguard their investments.

【Keywords】SVB; Cryptocurrencies; Connectedness; High -frequency data

【发表时间】2023 DEC

【收录时间】2023-10-23

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币