Quantifying systemic risk in the cryptocurrency market: A sectoral analysis

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dc.authoridGoodell, John W./0000-0003-4126-9244
dc.authoridKirci Altinkeski, Buket/0000-0002-0188-7809
dc.authoridCevik, Emrah Ismail/0000-0002-8155-1597
dc.contributor.authorGunay, Samet
dc.contributor.authorAltinkeski, Buket Kirci
dc.contributor.authorCevik, Emrah Ismail
dc.contributor.authorGoodell, John W.
dc.date.accessioned2024-10-29T17:58:25Z
dc.date.available2024-10-29T17:58:25Z
dc.date.issued2023
dc.departmentTekirdağ Namık Kemal Üniversitesi
dc.description.abstractLack 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.
dc.identifier.doi10.1016/j.frl.2023.104586
dc.identifier.issn1544-6123
dc.identifier.issn1544-6131
dc.identifier.scopus2-s2.0-85174458250
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.frl.2023.104586
dc.identifier.urihttps://hdl.handle.net/20.500.11776/14303
dc.identifier.volume58
dc.identifier.wosWOS:001098468400001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherAcademic Press Inc Elsevier Science
dc.relation.ispartofFinance Research Letters
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectSystemic risk
dc.subjectCryptocurrency market sectors
dc.subjectComponent expected shortfall
dc.titleQuantifying systemic risk in the cryptocurrency market: A sectoral analysis
dc.typeArticle

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