Chowdhury, M. and Damianov, D. S. and Elsayed, A. H. (2022) 'Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?', Finance Research Letters, 46 (Part B). p. 102494.
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.
|Full text:||Publisher-imposed embargo until 11 October 2022. |
(AM) Accepted Manuscript
Available under License - Creative Commons Attribution Non-commercial No Derivatives 4.0.
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|Publisher Web site:||https://doi.org/10.1016/j.frl.2021.102494|
|Publisher 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/|
|Date accepted:||10 October 2021|
|Date deposited:||13 October 2021|
|Date of first online publication:||11 October 2021|
|Date first made open access:||11 October 2022|
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