Unravelling systemic risk commonality across cryptocurrency groups

Molla Ramizur Rahman, Muhammad Abubakr Naeem, Larisa Yarovaya and Sabyasachi Mohapatra

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

Abstract: This study explores the systemic risk within thirty-four diverse cryptocurrencies, analyzing the commonality across different groups. In light of the cryptocurrency market's significant downturn following the FTX collapse in 2022, this research uniquely examines systemic risk commonality. Interestingly, it reveals no distinct risk-reducing traits in sharia-compliant and gold-backed coins, suggesting asset backing does not mitigate inherent cryptocurrency risks. Moreover, a notable common trend in systemic risk among cryptocurrencies is identified, driven by their complementary characteristics. This insight into common systemic risk trends enables investors to make informed hedging decisions across various cryptocurrency groups, providing a safeguard against severe market downturns.

Keywords: Systemic risk; Commonality; Cryptocurrencies; Hedging (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324006639

DOI: 10.1016/j.frl.2024.105633

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