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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.

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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