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

Md Akhtaruzzaman, Sabri Boubaker, Duc Khuong Nguyen and Molla Ramizur Rahman

Finance Research Letters, 2022, vol. 47, issue PB

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.

Keywords: Cryptocurrencies; Systemic risk; Contagion; Systemic network; CoVaR; COVID–19 (search for similar items in EconPapers)
JEL-codes: G01 G11 G15 G20 G29 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s154461232200099x

DOI: 10.1016/j.frl.2022.102787

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