Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis

Journal article

Akhtaruzzaman, Md, Boubaker, Sabri, Nguyen, Duc Khuong and Rahman, Molla Ramizur. (2022). Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis. Finance Research Letters. 47(Part B), p. Article 102787. https://doi.org/10.1016/j.frl.2022.102787
AuthorsAkhtaruzzaman, Md, Boubaker, Sabri, Nguyen, Duc Khuong and Rahman, Molla Ramizur
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–19 period, indicating evidence of pandemic-driven contagion channels. Similarly, cryptocurrency systemic networks show that the COVID–19 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.

Keywordscryptocurrencies; systemic risk; contagion; systemic network; CoVaR; COVID–19
Year2022
JournalFinance Research Letters
Journal citation47 (Part B), p. Article 102787
PublisherElsevier Inc.
ISSN1544-6123
Digital Object Identifier (DOI)https://doi.org/10.1016/j.frl.2022.102787
PubMed ID35291226
Scopus EID2-s2.0-85126537237
PubMed Central IDPMC8912991
Page range1-6
Publisher's version
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All rights reserved
File Access Level
Controlled
Output statusPublished
Publication dates
Online11 Mar 2022
Publication process dates
Accepted07 Mar 2022
Deposited16 May 2023
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