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Cryptocurrency Bubble on the Systemic Risk in Global Energy Companies

Ji, Qiang, Ripple, Ronald D., Zhang, Dayong, Zhao, Yuqian (2022) Cryptocurrency Bubble on the Systemic Risk in Global Energy Companies. Energy Journal, 43 (SI). pp. 1-24. ISSN 0195-6574. (doi:10.5547/01956574.43.SI1.qiji) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:95055)

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Abstract

Financialization has brought new challenges to the international energy markets, making energy systemic risk a more complicated issue. One of the important features is the development of cryptocurrency, which has become a critical part of the global financial markets. As a consequence, the rise and fall of cryptocurrency can have nonnegligible impacts on the systemic risks in the international energy sec- tor. This paper empirically tests this hypothesis using the equity data of the top 100 energy companies from 2014 to 2021. Specifically, we explore the extreme shocks of cryptocurrency using multiple bubble tests, and then we test to what extent bubbles in cryptocurrency markets can affect systemic risk in the energy sector. Our empirical results show that the formation of cryptocurrency bubbles, especially when the bubbles burst, significantly increases systemic risks in the energy sector. This effect retains the same in the recent COVID-19 pandemic period. In addition, oil and gas companies play an essential channel in the risk spillover from cryptocurrency markets to the international energy markets.

Item Type: Article
DOI/Identification number: 10.5547/01956574.43.SI1.qiji
Uncontrolled keywords: Energy companies, Cryptocurrency, Bubbles, Systemic risks, CoVaR
Subjects: H Social Sciences
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Yuqian Zhao
Date Deposited: 17 May 2022 12:55 UTC
Last Modified: 14 Jun 2022 14:20 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/95055 (The current URI for this page, for reference purposes)
Zhao, Yuqian: https://orcid.org/0000-0002-5396-3316
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