Spillover effects according to classification of cryptocurrency

Yingxiu Zhao, John W. Goodell and Dehua Shen

Finance Research Letters, 2024, vol. 65, issue C

Abstract: We use tail-event-driven network risk to analyze tail spillover effects and interconnectedness for three categories of cryptocurrencies: currency, protocol, and dAPP. Results indicate that the most prominent cryptocurrencies for incoming links and outgoing links are protocol (e.g., ETH and NXT). Currency and protocol cryptocurrencies are both receivers and emitters of systemic risk, whereas dAPP cryptocurrencies are only receivers. We also identify asymmetric effects in the incoming and outgoing links of cryptocurrencies at varying price levels. Some cryptocurrencies with smaller market capitalization have an outsized impact. Findings are important to understand the risk volatility and price spillover effects of cryptocurrencies.

Keywords: Cryptocurrency taxonomy; Spillovers; CoVar; Volatility (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324006597

DOI: 10.1016/j.frl.2024.105629

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