Interdependence, contagion and speculative bubbles in cryptocurrency markets

Bazán-Palomino W. · Finance Research Letters (2022) · DOI: 10.1016/j.frl.2022.103132

Resumen

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.

Instituciones: Universidad del Pacífico