Unravelling systemic risk commonality across cryptocurrency groups
Unravelling systemic risk commonality across cryptocurrency groups
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.
Commonality, Cryptocurrencies, Hedging, Systemic risk
Rahman, Molla Ramizur
ba46befc-3f40-4f3d-9d0e-c50dbff5c5d6
Naeem, Muhammad Abubakr
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Yarovaya, Larisa
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Mohapatra, Sabyasachi
ff55f7ac-a7d8-4a86-87ba-b5bcfa73b467
28 May 2024
Rahman, Molla Ramizur
ba46befc-3f40-4f3d-9d0e-c50dbff5c5d6
Naeem, Muhammad Abubakr
959d6cc4-53d1-47dc-8c3c-0354a08633d7
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Mohapatra, Sabyasachi
ff55f7ac-a7d8-4a86-87ba-b5bcfa73b467
Rahman, Molla Ramizur, Naeem, Muhammad Abubakr, Yarovaya, Larisa and Mohapatra, Sabyasachi
(2024)
Unravelling systemic risk commonality across cryptocurrency groups.
Finance Research Letters, 65, [105633].
(doi:10.1016/j.frl.2024.105633).
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.
Text
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Accepted/In Press date: 22 May 2024
Published date: 28 May 2024
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Publisher Copyright:
© 2024 The Author(s)
Keywords:
Commonality, Cryptocurrencies, Hedging, Systemic risk
Identifiers
Local EPrints ID: 493771
URI: http://eprints.soton.ac.uk/id/eprint/493771
ISSN: 1544-6123
PURE UUID: 54e0fbba-a3af-4dcf-a9cd-ff2b7a26b7c9
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Date deposited: 12 Sep 2024 16:42
Last modified: 13 Sep 2024 01:58
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Contributors
Author:
Molla Ramizur Rahman
Author:
Muhammad Abubakr Naeem
Author:
Sabyasachi Mohapatra
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