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- W4285026503 abstract "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. • 2017 and 2021 bubbles changed interdependence and contagion among cryptocurrencies. • During bubble periods interdependence declined relative to post-bubbles periods. • Weak evidence of contagion during both bubbles, but stronger during 2015–2022. • GMV volatility was higher during the 2017 bubble than during the 2021 bubble. • GMV expected shortfall is larger after the bubbles burst." @default.
- W4285026503 created "2022-07-12" @default.
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- W4285026503 date "2022-10-01" @default.
- W4285026503 modified "2023-10-18" @default.
- W4285026503 title "Interdependence, contagion and speculative bubbles in cryptocurrency markets" @default.
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- W4285026503 doi "https://doi.org/10.1016/j.frl.2022.103132" @default.
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