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The risk interdependence of cryptocurrencies: Before and during the COVID-19 pandemic

Author

Listed:
  • Xinru Zeng

    (School of Finance, Southwestern University of Finance and Economics, Chengdu 611130, P. R. China)

  • Zhiyong Li

    (School of Finance, Southwestern University of Finance and Economics, Chengdu 611130, P. R. China)

  • Weiwei Yang

    (School of Finance, Southwestern University of Finance and Economics, Chengdu 611130, P. R. China)

  • Zhengyang Huang

    (Chinese University of Hong Kong, HKSAR, P. R. China)

Abstract

In this paper, we measure the risk interdependence of 12 major cryptocurrencies before and during the COVID-19 pandemic, based on a GARCH-Copula-VaR approach and a dynamic network analysis. We find that cryptocurrencies generally show high levels of volatility, speculation, homogeneity and tail risk contagion. Furthermore, the COVID-19 pandemic has a continuous impact on the cryptocurrency market. When financial institutions are increasingly investing in crypto assets, the hidden risks in the cryptocurrency market remain high. Therefore, this paper calls for attention on the cryptocurrency market from both investors and regulators.

Suggested Citation

  • Xinru Zeng & Zhiyong Li & Weiwei Yang & Zhengyang Huang, 2022. "The risk interdependence of cryptocurrencies: Before and during the COVID-19 pandemic," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 1-25, December.
    • Handle: RePEc:wsi:ijfexx:v:09:y:2022:i:04:n:s2424786321500444
    DOI: 10.1142/S2424786321500444
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