Connectedness between cryptocurrencies using high-frequency data: A novel insight from the Silicon Valley Banks collapse

Shoaib Ali, Faten Moussa and Manel Youssef

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

Abstract: The collapse of Silicon Valley Bank (SVB), a tech industry bank, has shaken the global financial markets, including cryptocurrencies; therefore, this study intends to investigate the return and volatility spillovers between leading cryptocurrencies using high-frequency data and the TVP-VAR model. The results indicate that the total return connectedness had increased in the aftermath of the collapse, but the volatility connectedness remains unchanged. Moreover, conventional (stablecoins) cryptocurrencies are the net transmitter (recipient) of return and volatility spillovers from the system. The results of this study have important implications for investors and portfolio managers seeking to safeguard their investments.

Keywords: SVB; Cryptocurrencies; Connectedness; High-frequency data (search for similar items in EconPapers)
JEL-codes: C5 F3 G10 G12 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007249

DOI: 10.1016/j.frl.2023.104352

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