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Systemic Risk-Sharing Framework of Cryptocurrencies in the COVID\textendash19 Crisis

Author

Listed:
  • M. Akhtaruzzaman
  • S. Boubaker

    (Métis Lab EM Normandie - EM Normandie - École de Management de Normandie)

  • D.K. Nguyen

    (IPAG Business School)

  • M.R. Rahman

    (IIT Kharagpur - Indian Institute of Technology Kharagpur)

Abstract

We use the Conditional Value-at-Risk (CoVaR) model to develop the systemic contagion index (SCI) for cryptocurrencies and examine their spillover effects. The SCI exhibits the highest value during the COVID\textendash19 period, indicating evidence of pandemic-driven contagion channels. Similarly, cryptocurrency systemic networks show that the COVID\textendash19 period induced increased interconnections, highlighting a higher number of systemic contagion channels. Our study has practical implications for investors to identify the systemic vulnerability of each cryptocurrency and make informed decisions during the crisis and non-crisis periods. \textcopyright 2022

Suggested Citation

  • M. Akhtaruzzaman & S. Boubaker & D.K. Nguyen & M.R. Rahman, 2022. "Systemic Risk-Sharing Framework of Cryptocurrencies in the COVID\textendash19 Crisis," Post-Print hal-04452661, HAL.
    • Handle: RePEc:hal:journl:hal-04452661
    DOI: 10.1016/j.frl.2022.102787
    as

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