Title: Return spillovers and connectedness in the cryptocurrency market
Authors: Kamil Yilmaz - Koc University (Turkey)
Engin Iyidogan - SKEMA Business School (France) [presenting]
Abstract: The data show that system-wide connectedness in the cryptocurrency market, commonly observed as the level of systemic risk in the literature, changes over time with respect to the adoption rate of cryptocurrencies. Cryptocurrency protocol disputes, malicious activities in the cryptocurrency environment, and negative financial regulations on cryptocurrencies are the major sources of increase in connectedness for different periods. Instead, the pairwise connectedness between cryptocurrency pairs can be explained by cryptocurrency fundamentals.