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Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?

Chowdhury, M.; Damianov, D.S.; Elsayed, A.H.

Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation? Thumbnail


Authors

M. Chowdhury



Abstract

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 and a net receiver during booms. Analysis of the timing of bubble and crash periods uncovers the presence of interdependence and contagion effects. Asset dynamics is driven to a great extent by the technology, in particular the consensus protocol of cryptocurrencies. There is only limited evidence for asset rotation, and it involves mostly Ripple.

Citation

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

Journal Article Type Article
Acceptance Date Oct 10, 2021
Online Publication Date Oct 11, 2021
Publication Date 2022-05
Deposit Date Oct 13, 2021
Publicly Available Date Oct 11, 2022
Journal Finance Research Letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 46
Issue Part B
Article Number 102494
DOI https://doi.org/10.1016/j.frl.2021.102494
Public URL https://durham-repository.worktribe.com/output/1227951

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