An empirical study of risk diffusion in the cryptocurrency market based on the network analysis

Ming-Yuan Yang, Zhen-Guo Wu and Xin Wu

Finance Research Letters, 2022, vol. 50, issue C

Abstract: This paper studies the risk diffusion in the cryptocurrency market during the period from 2018 to 2021 based on the network analysis. By comparing the network topologies of cryptocurrency, stock and foreign exchange networks, we find that risks may diffuse more easily in the cryptocurrency market rather than traditional financial markets. We also measure the breadth and depth of risk diffusion for cryptocurrencies, and build panel regression models to identify what contributes to the risk diffusion. Our findings show that cryptocurrencies with large market capitalization, and others that experience decline in prices or low-turnover also contribute to the risk diffusion.

Keywords: Cryptocurrency market; Risk diffusion; Network analysis (search for similar items in EconPapers)
JEL-codes: G15 G23 Q02 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322003890

DOI: 10.1016/j.frl.2022.103180

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