A Comprehensive Analysis of the Cryptocurrency Volatility Network

Absztrakt (kivonat)

This paper presents a comprehensive analysis of the cryptocurrency market using network analysis techniques. With the help of a dynamic input scanning method, the volatility movements of 45 assets could be analysed over a nearly 7 year long time period. Using the Diebold-Yilmaz framework, we constructed indices to observe dynamic volatility connectedness changes not only on the whole market, but across Defi Tokens, NFTs, and traditional cryptocurrency assets also. Our findings reveal a highly interconnected network in case of total connectedness throughout the examined period, while on sub-market levels the group of NFTs became less interconnected after May 2021. Internal factor analysis also highlights that the impact of new cryptocurrency entries on the market was substantial, often influencing changes in total connectedness index (TCI) and net group spillovers. External factors, such as economic and financial events, exerted notable influence, with uncertainty indices positively affecting TCI and financial stress weakening total connectedness. During crisis periods such as the COVID-19 outbreak or China regulatory ban, there were notable increases in the TCI, signaling heightened levels of interconnectedness. However, certain events, like the Terra-LUNA crash and the Silicon Valley Bank collapse, led to reductions in net traditional crypto connectedness.