Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market
Since the advent of Bitcoin, the cryptocurrency market has become an important financial market. However, due to the existence of the cryptocurrency bubble, investors face more difficulties in risk portfolios. We adopt wavelet packet decomposition, nonlinear Granger causality test, risk spillover ne...
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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/5581843 |
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| _version_ | 1832547616437567488 |
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| author | Xu Zhang Zhijing Ding |
| author_facet | Xu Zhang Zhijing Ding |
| author_sort | Xu Zhang |
| collection | DOAJ |
| description | Since the advent of Bitcoin, the cryptocurrency market has become an important financial market. However, due to the existence of the cryptocurrency bubble, investors face more difficulties in risk portfolios. We adopt wavelet packet decomposition, nonlinear Granger causality test, risk spillover network, and STVAR model; retain the mature research of multiscale systemic risk based on time and frequency; and thus extend systemic risk to different regimes. We found that when frequency is combined with regimes, the risk spillover center will undergo subversive changes in the long run. We also proposed that BTC will be more robust at extreme values (like longest and shortest periods), while cryptocurrencies with smaller market capitalization will be stronger in the medium term. At the same time, the recession period will also spur on it. |
| format | Article |
| id | doaj-art-0f089d48c80f4d7f8dbee748e908b844 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-0f089d48c80f4d7f8dbee748e908b8442025-02-03T06:43:55ZengWileyComplexity1076-27871099-05262021-01-01202110.1155/2021/55818435581843Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency MarketXu Zhang0Zhijing Ding1School of Management Science and Engineering, Nanjing University of Information Science and Technology, Nanjing 210044, ChinaChang Wang School of Honors, Nanjing University of Information Science and Technology, Nanjing 210044, ChinaSince the advent of Bitcoin, the cryptocurrency market has become an important financial market. However, due to the existence of the cryptocurrency bubble, investors face more difficulties in risk portfolios. We adopt wavelet packet decomposition, nonlinear Granger causality test, risk spillover network, and STVAR model; retain the mature research of multiscale systemic risk based on time and frequency; and thus extend systemic risk to different regimes. We found that when frequency is combined with regimes, the risk spillover center will undergo subversive changes in the long run. We also proposed that BTC will be more robust at extreme values (like longest and shortest periods), while cryptocurrencies with smaller market capitalization will be stronger in the medium term. At the same time, the recession period will also spur on it.http://dx.doi.org/10.1155/2021/5581843 |
| spellingShingle | Xu Zhang Zhijing Ding Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market Complexity |
| title | Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market |
| title_full | Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market |
| title_fullStr | Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market |
| title_full_unstemmed | Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market |
| title_short | Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market |
| title_sort | multiscale systemic risk and its spillover effects in the cryptocurrency market |
| url | http://dx.doi.org/10.1155/2021/5581843 |
| work_keys_str_mv | AT xuzhang multiscalesystemicriskanditsspillovereffectsinthecryptocurrencymarket AT zhijingding multiscalesystemicriskanditsspillovereffectsinthecryptocurrencymarket |