Unravelling systemic risk commonality across cryptocurrency groups

Molla Ramizur Rahman, Muhammad Abubakr Naeem, Larisa Yarovaya, Sabyasachi Mohapatra

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

This study explores the systemic risk within thirty-four diverse cryptocurrencies, analyzing the commonality across different groups. In light of the cryptocurrency market's significant downturn following the FTX collapse in 2022, this research uniquely examines systemic risk commonality. Interestingly, it reveals no distinct risk-reducing traits in sharia-compliant and gold-backed coins, suggesting asset backing does not mitigate inherent cryptocurrency risks. Moreover, a notable common trend in systemic risk among cryptocurrencies is identified, driven by their complementary characteristics. This insight into common systemic risk trends enables investors to make informed hedging decisions across various cryptocurrency groups, providing a safeguard against severe market downturns.

Original languageEnglish
Article number105633
JournalFinance Research Letters
Volume65
DOIs
Publication statusPublished - Jul 2024
Externally publishedYes

Keywords

  • Commonality
  • Cryptocurrencies
  • Hedging
  • Systemic risk

ASJC Scopus subject areas

  • Finance

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