Unveiling interconnectedness and risk spillover among cryptocurrencies and other asset classes

【Author】 Narayan, Shivani; Kumar, Dilip

【Source】GLOBAL FINANCE JOURNAL

【影响因子】2.853

【Abstract】The study investigates the interconnectedness and risk spillover among a diverse range of financial assets, including thirty-three cryptocurrencies, thirteen sectoral indices, six exchange rates, four precious metals, and six energy commodities. Using diverse methodologies, including partial correlation network, dynamic causality index, Granger causality network, crossquantilogram and Bayesian graphical VAR model, the findings reveal intriguing insights, such as cryptocurrencies exhibiting a negative relation with other asset classes, minimal interconnectedness during the COVID-19 pandemic, and their vulnerability to shocks. Moreover, there is a stronger dependence structure from energy commodities and exchange rates to other classes, while moderate temporal dependencies exist between cryptocurrencies and other assets. These results emphasize the need for understanding and managing risks in the cryptocurrency market and highlight the interconnected nature of financial markets. The interconnectedness among various asset classes is mainly driven by variables representing market and economic sentiment, uncertainty and business confidence.

【Keywords】Risk spillover; Interconnectedness; Cryptocurrencies; Bayesian graphical VAR; Cross-quantilogram

【发表时间】2024 SEP

【收录时间】2024-07-27

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-价格预测