Systemic risk-sharing framework of cryptocurrencies in the COVID-19 crisis

Md Akhtaruzzaman; Sabri Boubaker; Duc Khuong Nguyen; Molla Ramizur Rahman

doi:10.1016/j.frl.2022.102787

Systemic risk-sharing framework of cryptocurrencies in the COVID-19 crisis

Financ Res Lett. 2022 Jun:47:102787. doi: 10.1016/j.frl.2022.102787. Epub 2022 Mar 11.

Authors

Md Akhtaruzzaman¹, Sabri Boubaker^{2

3}, Duc Khuong Nguyen^{4

5}, Molla Ramizur Rahman⁶

Affiliations

¹ Peter Faber Business School, Australian Catholic University, Sydney, Australia.
² EM Normandie Business School, Métis Lab, France.
³ International School, Vietnam National University, Hanoi, Vietnam.
⁴ IPAG Business School, Paris, France.
⁵ Faculty of Finance and Accounting, Prague University of Economics and Business, Prague, Czech Republic.
⁶ Vinod Gupta School of Management, Indian Institute of Technology Kharagpur, India.

Abstract

We use the Conditional Value-at-Risk (CoVaR) model to develop the systemic contagion index (SCI) for cryptocurrencies and examine their spillover effects. The SCI exhibits the highest value during the COVID-19 period, indicating evidence of pandemic-driven contagion channels. Similarly, cryptocurrency systemic networks show that the COVID-19 period induced increased interconnections, highlighting a higher number of systemic contagion channels. Our study has practical implications for investors to identify the systemic vulnerability of each cryptocurrency and make informed decisions during the crisis and non-crisis periods.

Keywords: COVID–19; CoVaR; Contagion; Cryptocurrencies; Systemic network; Systemic risk.