Systemic Risk-Sharing Framework of Cryptocurrencies in the COVID-9 Crisis

Md Akhtaruzzaman, Sabri Boubaker, Duc Khuong Nguyen and M.R. Rahman
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M.R. Rahman: IIT Kharagpur - Indian Institute of Technology Kharagpur

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Abstract: We use the Conditional Value-at-Risk (CoVaR) model to develop the systemic contagion index (SCI) for cryptocurrencies and examine their spillover effects. The SCI exhibits the highest value during the COVID\textendash19 period, indicating evidence of pandemic-driven contagion channels. Similarly, cryptocurrency systemic networks show that the COVID\textendash19 period induced increased interconnections, highlighting a higher number of systemic contagion channels. Our study has practical implications for investors to identify the systemic vulnerability of each cryptocurrency and make informed decisions during the crisis and non-crisis periods. \textcopyright 2022

Keywords: Contagion; CoVaR; COVID-19; Cryptocurrencies; Systemic network; Systemic risk (search for similar items in EconPapers)
Date: 2022
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Published in Finance Research Letters, 2022, 47, ⟨10.1016/j.frl.2022.102787⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04452661

DOI: 10.1016/j.frl.2022.102787

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