Systemic risk-sharing framework of cryptocurrencies in the COVID-19 crisis.
Financ Res Lett
; 47: 102787, 2022 Jun.
Article
in English
| MEDLINE | ID: covidwho-1734402
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.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Prognostic study
Language:
English
Journal:
Financ Res Lett
Year:
2022
Document Type:
Article
Affiliation country:
J.frl.2022.102787
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