Bubbles and crashes in cryptocurrencies: Interdependence, contagion, or asset rotation?
نویسندگان
چکیده
Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency exhibits high level of connectedness. Bitcoin is net transmitter spillovers during busts and receiver booms. Analysis timing bubble crash periods uncovers presence interdependence contagion effects. Asset driven great extent by technology, particular consensus protocol cryptocurrencies. There only limited evidence for asset rotation, it involves mostly Ripple.
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2022
ISSN: ['1544-6131', '1544-6123']
DOI: https://doi.org/10.1016/j.frl.2021.102494