Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis

We use the Conditional Value-at-Risk (CoVaR) model to develop the systemic contagion index (SCI) for cryptocurrencies and examine their spillover effects. The SCI exhibits the highest value during the COVID–19 period, indicating evidence of pandemic-driven contagion channels. Similarly, cryptocurren...

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Detalles Bibliográficos
Autores principales: Akhtaruzzaman, Md, Boubaker, Sabri, Nguyen, Duc Khuong, Rahman, Molla Ramizur
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8912991/
https://www.ncbi.nlm.nih.gov/pubmed/35291226
http://dx.doi.org/10.1016/j.frl.2022.102787
Descripción
Sumario:We use the Conditional Value-at-Risk (CoVaR) model to develop the systemic contagion index (SCI) for cryptocurrencies and examine their spillover effects. The SCI exhibits the highest value during the COVID–19 period, indicating evidence of pandemic-driven contagion channels. Similarly, cryptocurrency systemic networks show that the COVID–19 period induced increased interconnections, highlighting a higher number of systemic contagion channels. Our study has practical implications for investors to identify the systemic vulnerability of each cryptocurrency and make informed decisions during the crisis and non-crisis periods.

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