Will memecoins' surge trigger a crypto crash? Evidence from the connectedness between leading cryptocurrencies and memecoins

被引：9
|
作者：
Li, Chao [1 ,2 ]
Yang, Haijun [1 ,2 ,3 ,4 ]
机构：
[1] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China
[2] Beihang Univ, Key Lab Complex Syst Anal Management & Decis, Minist Educ, Beijing 100191, Peoples R China
[3] Beihang Univ, Beijing Adv Innovat Ctr Big Data & Brain Comp, Beijing 100191, Peoples R China
[4] Beijing Univ, 37 Xueyuan Rd, Beijing 100191, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2022年 / 50卷
基金：
中国国家自然科学基金;
关键词：
Cryptocurrency; Memecoins; TVP-VAR; Connectedness; Spillovers; Crash; DYNAMIC CONNECTEDNESS; SAFE HAVEN; BITCOIN; RETURN;
D O I：
10.1016/j.frl.2022.103191
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Understanding the crash of cryptocurrencies in 2021 requires analyses of the microstructure of leading cryptocurrencies and memecoins. Using 4-hourly data, we reveal how leading crypto-currencies and memecoins influence each other with the Granger-causality test and dynamic connectedness. We find that leading cryptocurrencies spillovers dominate memecoins by falling while memecoins spillovers affect leading cryptocurrencies by rising. Moreover, we conduct regression analysis on a daily and 4-hourly basis, and the results confirm the findings above. In most periods, leading cryptocurrencies drive memecoins; however, when memecoins show a positive net spillover, it tends to trigger the leading cryptocurrencies to crash.
引用
收藏
页数：10
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