TY - JOUR
T1 - Interdependence, contagion and speculative bubbles in cryptocurrency markets
AU - Bazán-Palomino, Walter
N1 - Publisher Copyright:
© 2022 Elsevier Inc.
PY - 2022/10
Y1 - 2022/10
N2 - After detecting several bubbles during 2015–2022, this study investigates the impact of the two biggest bubbles – those of 2017 and 2021 – on interdependence and contagion among cryptocurrencies. Interdependence declines during these bubbles relative to the post-bubble periods, and there is strong evidence of contagion over the whole sample and in the post-2021 bubble period. To illustrate their impact, optimal weights, volatility, and expected shortfall of a global minimum variance portfolio are examined. While volatility is higher during bubbles, the expected shortfall is stronger in the post-bubble periods. My results provide useful information for risk management and derivative pricing.
AB - After detecting several bubbles during 2015–2022, this study investigates the impact of the two biggest bubbles – those of 2017 and 2021 – on interdependence and contagion among cryptocurrencies. Interdependence declines during these bubbles relative to the post-bubble periods, and there is strong evidence of contagion over the whole sample and in the post-2021 bubble period. To illustrate their impact, optimal weights, volatility, and expected shortfall of a global minimum variance portfolio are examined. While volatility is higher during bubbles, the expected shortfall is stronger in the post-bubble periods. My results provide useful information for risk management and derivative pricing.
KW - Bubbles
KW - Contagion
KW - Global minimum variance portfolio
KW - Interdependence
UR - http://www.scopus.com/inward/record.url?scp=85134541793&partnerID=8YFLogxK
UR - https://www.mendeley.com/catalogue/dcecb183-e91c-339a-bfec-f6bbd04b302d/
U2 - 10.1016/j.frl.2022.103132
DO - 10.1016/j.frl.2022.103132
M3 - Article in a journal
AN - SCOPUS:85134541793
SN - 1544-6123
VL - 49
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 103132
ER -