Author(s): Jules Clement Mba
The events leading to the recent financial crisis caused by the Covid-19 pandemic have under- lined the importance of financial contagion. This paper studies the connectedness among top ten cryptocurrencies by market capitalization using a combination of econometric tools which include, APARCH(1,0)-FDCC(1,1) framework to assess systemic risk with Systemic Expected Shortfall (SES) and Delta Conditional Value-at-Risk (Delta CoVaR) risk measures. The study uses contin- uously compounded daily data ranging from November 2017- January 2021. The empirical finding provide strong evidence of systemic risk during the in-sample period under review, with Bitcoin and Ethereum ranking the highest of the systemically important cryptocurrencies. This study is important for both investors to improve portfolio optimization strategies and also help regulatory authorities implement effective policy framework for monitoring the systematic risks of cryptocur- rencies.