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

Author

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  • Akhtaruzzaman, Md
  • Boubaker, Sabri
  • Nguyen, Duc Khuong
  • 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.

Suggested Citation

  • Akhtaruzzaman, Md & Boubaker, Sabri & Nguyen, Duc Khuong & Rahman, Molla Ramizur, 2022. "Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis," Finance Research Letters, Elsevier, vol. 47(PB).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pb:s154461232200099x
    DOI: 10.1016/j.frl.2022.102787
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    References listed on IDEAS

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    More about this item

    Keywords

    Cryptocurrencies; Systemic risk; Contagion; Systemic network; CoVaR; COVID–19;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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