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

ABSTRACT: 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.

SUBMITTER: Akhtaruzzaman M 

PROVIDER: S-EPMC8912991 | biostudies-literature | 2022 Jun

REPOSITORIES: biostudies-literature