Bubbles and crashes in cryptocurrencies: Interdependence, contagion, or asset rotation?

Md Shahedur R. Chowdhury, Damian S. Damianov, Ahmed H. Elsayed

Research output: Contribution to journalArticlepeer-review

27 Citations (Scopus)

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.

Original languageEnglish
Article number102494
JournalFinance Research Letters
Volume46
DOIs
Publication statusPublished - May 2022
Externally publishedYes

Keywords

  • Bubbles
  • Contagion
  • Crashes
  • Cryptocurrencies
  • Interdependence
  • Rotation

ASJC Scopus subject areas

  • Finance

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