The risk interdependence of cryptocurrencies: Before and during the COVID-19 pandemic
International Journal of Financial Engineering
; 09(04), 2022.
Article
in English
| Web of Science | ID: covidwho-2194053
ABSTRACT
In this paper, we measure the risk interdependence of 12 major cryptocurrencies before and during the COVID-19 pandemic, based on a GARCH-Copula-VaR approach and a dynamic network analysis. We find that cryptocurrencies generally show high levels of volatility, speculation, homogeneity and tail risk contagion. Furthermore, the COVID-19 pandemic has a continuous impact on the cryptocurrency market. When financial institutions are increasingly investing in crypto assets, the hidden risks in the cryptocurrency market remain high. Therefore, this paper calls for attention on the cryptocurrency market from both investors and regulators.
Full text:
Available
Collection:
Databases of international organizations
Database:
Web of Science
Type of study:
Prognostic study
Language:
English
Journal:
International Journal of Financial Engineering
Year:
2022
Document Type:
Article
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