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

Publication dates
Authors	Akhtaruzzaman, 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.
Keywords	cryptocurrencies; systemic risk; contagion; systemic network; CoVaR; COVID–19
Year	2022
Journal	Finance Research Letters
Journal citation	47 (Part B), p. Article 102787
Publisher	Elsevier Inc.
ISSN	1544-6123
Digital Object Identifier (DOI)	https://doi.org/10.1016/j.frl.2022.102787
PubMed ID	35291226
Scopus EID	2-s2.0-85126537237
PubMed Central ID	PMC8912991
Page range	1-6
Publisher's version	License All rights reserved File Access Level Controlled
Output status	Published
Online	11 Mar 2022
Publication process dates
Accepted	07 Mar 2022
Deposited	16 May 2023

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