Will memecoins’ surge trigger a crypto crash? Evidence from the connectedness between leading cryptocurrencies and memecoins

Chao Li and Haijun Yang

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

Abstract: Understanding the crash of cryptocurrencies in 2021 requires analyses of the microstructure of leading cryptocurrencies and memecoins. Using 4-hourly data, we reveal how leading cryptocurrencies and memecoins influence each other with the Granger-causality test and dynamic connectedness. We find that leading cryptocurrencies spillovers dominate memecoins by falling while memecoins spillovers affect leading cryptocurrencies by rising. Moreover, we conduct regression analysis on a daily and 4-hourly basis, and the results confirm the findings above. In most periods, leading cryptocurrencies drive memecoins; however, when memecoins show a positive net spillover, it tends to trigger the leading cryptocurrencies to crash.

Keywords: Cryptocurrency; Memecoins; TVP-VAR; Connectedness; Spillovers; Crash (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461232200397X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s154461232200397x

DOI: 10.1016/j.frl.2022.103191

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().