Quantifying systemic risk in the cryptocurrency market: A sectoral analysis

被引：2
|
作者：
Gunay, Samet [1 ]
Altinkeski, Buket Kirci [2 ]
Cevik, Emrah Ismail [2 ]
Goodell, John W. [3 ]
机构：
[1] Corvinus Univ Budapest, Finance Dept, Budapest, Hungary
[2] Namik Kemal Univ, Dept Econ, Tekirdag, Turkiye
[3] Univ Akron, Coll Business, Akron, OH 44325 USA
来源：
FINANCE RESEARCH LETTERS | 2023年 / 58卷
关键词：
Systemic risk; Cryptocurrency market sectors; Component expected shortfall;
D O I：
10.1016/j.frl.2023.104586
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页数：8
相关论文
共 50 条
  • [1] Forecasting and backtesting systemic risk in the cryptocurrency market
    Fang, Sheng
    Cao, Guangxi
    Egan, Paul
    [J]. FINANCE RESEARCH LETTERS, 2023, 54
  • [2] Sectoral contributions to systemic risk in the Chinese stock market
    Wu, Fei
    [J]. FINANCE RESEARCH LETTERS, 2019, 31 : 386 - 390
  • [3] Quantifying the spillover effect in the cryptocurrency market
    Moratis, George
    [J]. FINANCE RESEARCH LETTERS, 2021, 38
  • [4] Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market
    Zhang, Xu
    Ding, Zhijing
    [J]. COMPLEXITY, 2021, 2021
  • [5] Correlation-based Dynamics and Systemic Risk Measures in the Cryptocurrency Market
    Liang, Jiaqi
    Li, Linjing
    Zeng, Daniel
    Zhao, Yunwei
    [J]. 2018 IEEE INTERNATIONAL CONFERENCE ON INTELLIGENCE AND SECURITY INFORMATICS (ISI), 2018, : 43 - 48
  • [6] ASYMMETRIC VOLATILITY AND RISK ANALYSIS OF BITCOIN CRYPTOCURRENCY MARKET
    Quan, Yam Xing
    Yang, Thai Xue
    Fei, Choo Yun
    Cheong, Chin Wen
    Min, Lim
    [J]. JOURNAL OF QUALITY MEASUREMENT AND ANALYSIS, 2023, 19 (02): : 73 - 79
  • [7] Uncertainty and Risk in the Cryptocurrency Market
    Almeida, Dora
    Dionisio, Andreia
    Vieira, Isabel
    Ferreira, Paulo
    [J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2022, 15 (11)
  • [8] Geopolitical Risk and Cryptocurrency Market Volatility
    Fang, Yi
    Tang, Qirui
    Wang, Yanru
    [J]. EMERGING MARKETS FINANCE AND TRADE, 2024,
  • [9] A Network Analysis of the Cryptocurrency Market
    Ho, Kin-Hon
    Chiu, Wai-Han
    Li, Chin
    [J]. 2020 IEEE SYMPOSIUM SERIES ON COMPUTATIONAL INTELLIGENCE (SSCI), 2020, : 2178 - 2185
  • [10] Is downside risk priced in cryptocurrency market?
    Dobrynskaya, Victoria
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2024, 91
12345