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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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    More about this item

    Keywords

    Cryptocurrency network; Risk spreading ability; Gravity model; Systemic risk contribution;
    All these keywords.

    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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