Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?
(2021)
Journal Article
Chowdhury, M., Damianov, D., & Elsayed, A. (2022). Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?. Finance Research Letters, 46(Part B), Article 102494. https://doi.org/10.1016/j.frl.2021.102494
Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts... Read More about Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?.