Influential risk spreaders and their contribution to the systemic risk in the cryptocurrency network

Ming-Yuan Yang, Chengjin Wang, Zhen-Guo Wu, Xin Wu and Chengsi Zheng

Finance Research Letters, 2023, vol. 57, issue C

Abstract: This paper studies the risk spreading ability of cryptocurrencies and their contribution to the systemic risk during the period from 2018 to 2022. Three different network centrality approaches are employed to measure the risk spreading ability of cryptocurrencies both in breadth and depth, and from perspectives of local and global information. We also measure the contribution of cryptocurrencies to the systemic risk via ΔCoV aR, and detect what contributes to the systemic risk. Our findings show that cryptocurrencies with larger risk spreading ability, as well as others that experience decline in prices or high turnover, contribute more to the systemic risk.

Keywords: Cryptocurrency network; Risk spreading ability; Gravity model; Systemic risk contribution (search for similar items in EconPapers)
JEL-codes: G15 G23 Q02 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323005974
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:57:y:2023:i:c:s1544612323005974

DOI: 10.1016/j.frl.2023.104225

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 ().