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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

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

Akhtaruzzaman Md M Boubaker Sabri S Nguyen Duc Khuong DK Rahman Molla Ramizur MR

Finance research letters 20220311

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 t ...[more]

PMID: 35291226

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