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

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.

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.

Item Type:Article
Full text:Publisher-imposed embargo until 11 October 2022.
(AM) Accepted Manuscript
Available under License - Creative Commons Attribution Non-commercial No Derivatives 4.0.
File format - PDF
(1494Kb)
Status:Peer-reviewed
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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