Quantifying systemic risk in the cryptocurrency market: A sectoral analysis

Samet Gunay, Buket Kırcı Altınkeski, Emrah Ismail Çevik and John W. Goodell

Finance Research Letters, 2023, vol. 58, issue PC

Abstract: Lack of regulations and malicious activities exacerbate systemic risk exposure in the cryptocurrency market. Considering this, we explore Bitcoin, Ethereum, and thirteen cryptocurrency sectors to analyze the systemic risk level of the cryptocurrency market. We also examine the causality network among the sectors under extreme downside market conditions. Results show that smart contracts, along with Bitcoin and Ethereum, are sources of systemic risk. The extent of connectedness is 40 % during extreme loss periods. Our findings are useful for investors and risk managers who wish to take appropriate measures against the sectors that destabilize the market.

Keywords: Systemic risk; Cryptocurrency market sectors; Component expected shortfall (search for similar items in EconPapers)
JEL-codes: G01 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009583

DOI: 10.1016/j.frl.2023.104586

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