Quantifying systemic risk in the cryptocurrency market: A sectoral analysis
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Date
2023
Journal Title
Journal ISSN
Volume Title
Publisher
Academic Press Inc Elsevier Science
Access Rights
info:eu-repo/semantics/closedAccess
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.
Description
Keywords
Systemic risk, Cryptocurrency market sectors, Component expected shortfall
Journal or Series
Finance Research Letters
WoS Q Value
Q1
Scopus Q Value
Q1
Volume
58
