Title

Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?

Document Type

Article

Publication Date

5-2022

Department

School of Business

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.

DOI

10.1016/j.frl.2021.102494

Volume

46

Issue

Part B

ISSN

15446123

Comments

Article 102494

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