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Quantifying systemic risk in the cryptocurrency market: A sectoral analysis

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Listed:
  • Gunay, Samet
  • Altınkeski, Buket Kırcı
  • Ismail Çevik, Emrah
  • Goodell, John W.

Abstract

Lack of regulations and malicious activities exacerbate systemic risk exposure in the cryptocurrency market. Considering this, we explore Bitcoin, Ethereum, and thirteen cryptocurrency sectors to analyze the systemic risk level of the cryptocurrency market. We also examine the causality network among the sectors under extreme downside market conditions. Results show that smart contracts, along with Bitcoin and Ethereum, are sources of systemic risk. The extent of connectedness is 40 % during extreme loss periods. Our findings are useful for investors and risk managers who wish to take appropriate measures against the sectors that destabilize the market.

Suggested Citation

  • Gunay, Samet & Altınkeski, Buket Kırcı & Ismail Çevik, Emrah & Goodell, John W., 2023. "Quantifying systemic risk in the cryptocurrency market: A sectoral analysis," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009583
    DOI: 10.1016/j.frl.2023.104586
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    More about this item

    Keywords

    Systemic risk; Cryptocurrency market sectors; Component expected shortfall;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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