Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?

Chowdhury, M.; Damianov, D.S.; Elsayed, A.H.

doi:10.1016/j.frl.2021.102494

Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?

Chowdhury, M.; Damianov, D.S.; Elsayed, A.H.

Authors

M. Chowdhury

Professor Damian Damianov damian.damianov@durham.ac.uk
Professor

Dr Ahmed Elsayed ahmed.elsayed@durham.ac.uk
Associate Professor

Abstract

Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts and a net receiver during booms. Analysis of the timing of bubble and crash periods uncovers the presence of interdependence and contagion effects. Asset dynamics is driven to a great extent by the technology, in particular the consensus protocol of cryptocurrencies. There is only limited evidence for asset rotation, and it involves mostly Ripple.

Citation

Chowdhury, M., Damianov, D., & Elsayed, A. (2022). Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?. Finance Research Letters, 46(Part B), Article 102494. https://doi.org/10.1016/j.frl.2021.102494

Journal Article Type	Article
Acceptance Date	Oct 10, 2021
Online Publication Date	Oct 11, 2021
Publication Date	2022-05
Deposit Date	Oct 13, 2021
Publicly Available Date	Oct 11, 2022
Journal	Finance Research Letters
Print ISSN	1544-6123
Publisher	Elsevier
Peer Reviewed	Peer Reviewed
Volume	46
Issue	Part B
Article Number	102494
DOI	https://doi.org/10.1016/j.frl.2021.102494
Public URL	https://durham-repository.worktribe.com/output/1227951

Files

Accepted Journal Article (0)
PDF

Publisher Licence URL
http://creativecommons.org/licenses/by-nc-nd/4.0/

Copyright Statement
© 2021 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/