Understanding the FTX exchange collapse: A dynamic connectedness approach

Erdinc Akyildirim, Thomas Conlon, Shaen Corbet and John W. Goodell

Finance Research Letters, 2023, vol. 53, issue C

Abstract: Employing a TVP-VAR dynamic connectedness analysis, we identify avenues through which the collapse of the FTX exchange manifested contagion effects throughout a number of financial markets. Results indicate that interaction effects become significantly pronounced, coinciding with key milestones during the collapse of FTX and related companies. Specifically, sources of contagion stem from two tokens created by the exchange and related companies, namely FTT Token and Serum. Such results further develop the expanding literature based on the inherent contagion effects of such unregulated products.

Keywords: TVP-VAR; Dynamic connectedness; GARCH; Fraud; Cryptocurrency; Tokens (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s154461232300017x

DOI: 10.1016/j.frl.2023.103643

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