Bubbles and crashes in cryptocurrencies: Interdependence, contagion, or asset rotation?

Md Shahedur R. Chowdhury, Damian Damianov and Ahmed Elsayed

Finance Research Letters, 2022, vol. 46, issue PB

Abstract: Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts and a net receiver during booms. Analysis of the timing of bubble and crash periods uncovers the presence of interdependence and contagion effects. Asset dynamics is driven to a great extent by the technology, in particular the consensus protocol of cryptocurrencies. There is only limited evidence for asset rotation, and it involves mostly Ripple.

Keywords: Cryptocurrencies; Interdependence; Contagion; Rotation; Bubbles; Crashes (search for similar items in EconPapers)
JEL-codes: C32 F3 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004700

DOI: 10.1016/j.frl.2021.102494

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