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

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  • Ali, Shoaib
  • Moussa, Faten
  • Youssef, Manel

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.

Suggested Citation

  • Ali, Shoaib & Moussa, Faten & Youssef, Manel, 2023. "Connectedness between cryptocurrencies using high-frequency data: A novel insight from the Silicon Valley Banks collapse," Finance Research Letters, Elsevier, vol. 58(PB).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007249
    DOI: 10.1016/j.frl.2023.104352
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    References listed on IDEAS

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    Cited by:

    1. Liu, Xia & Megginson, William & Tran, Nhu & Wei, Siqi, 2024. "Who Loses Most When Big Banks Suddenly Fail? Evidence from Silicon Valley Bank Collapse," Finance Research Letters, Elsevier, vol. 59(C).
    2. Naveed, Muhammad & Ali, Shoaib & Gubareva, Mariya & Omri, Anis, 2024. "When giants fall: Tracing the ripple effects of Silicon Valley Bank (SVB) collapse on global financial markets," Research in International Business and Finance, Elsevier, vol. 67(PA).
    3. Aharon, David Y. & Ali, Shoaib, 2024. "A high-frequency data dive into SVB collapse," Finance Research Letters, Elsevier, vol. 59(C).
    4. Ali, Shoaib & Naveed, Muhammad & Hanif, Hasan & Gubareva, Mariya, 2024. "The resilience of Shariah-compliant investments: Probing the static and dynamic connectedness between gold-backed cryptocurrencies and GCC equity markets," International Review of Financial Analysis, Elsevier, vol. 91(C).
    5. Naeem, Muhammad Abubakr & Farid, Saqib & Yousaf, Imran & Kang, Sang Hoon, 2023. "Asymmetric efficiency in petroleum markets before and during COVID-19," Resources Policy, Elsevier, vol. 86(PA).

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    More about this item

    Keywords

    SVB; Cryptocurrencies; Connectedness; High-frequency data;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F3 - International Economics - - International Finance
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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