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Influential risk spreaders and their contribution to the systemic risk in the cryptocurrency network

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  • Yang, Ming-Yuan
  • Wang, Chengjin
  • Wu, Zhen-Guo
  • Wu, Xin
  • Zheng, Chengsi

Abstract

This paper studies the risk spreading ability of cryptocurrencies and their contribution to the systemic risk during the period from 2018 to 2022. Three different network centrality approaches are employed to measure the risk spreading ability of cryptocurrencies both in breadth and depth, and from perspectives of local and global information. We also measure the contribution of cryptocurrencies to the systemic risk via ΔCoV aR, and detect what contributes to the systemic risk. Our findings show that cryptocurrencies with larger risk spreading ability, as well as others that experience decline in prices or high turnover, contribute more to the systemic risk.

Suggested Citation

  • Yang, Ming-Yuan & Wang, Chengjin & Wu, Zhen-Guo & Wu, Xin & Zheng, Chengsi, 2023. "Influential risk spreaders and their contribution to the systemic risk in the cryptocurrency network," Finance Research Letters, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005974
    DOI: 10.1016/j.frl.2023.104225
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    References listed on IDEAS

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    Cited by:

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    6. Chen, Yan & Luo, Qiong & Zhang, Feipeng, 2025. "Systemic risk and network effects in RCEP financial markets: Evidence from the TEDNQR model," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
    7. Anh Thi Phuong Hoang & Bao Cong Nguyen To & Hoang Dinh Tran, 2025. "Safe havens in the digital age: Cryptocurrencies and geopolitical risks," HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, vol. 15(3), pages 160-180.
    8. Yang, Ming-Yuan & Wu, Zhen-Guo & Wu, Xin & Li, Sai-Ping, 2024. "Influential risk spreaders and systemic risk in Chinese financial networks," Emerging Markets Review, Elsevier, vol. 60(C).

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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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