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

页数：8

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