Title: Measuring systemic risk in the cryptocurrency market: a CoVaR approach

Authors: Arvind Awasthi; Mariyam Shaukat

Addresses: Department of Economics, University of Lucknow, Lucknow, India ' Department of Economics, University of Lucknow, Lucknow, India

Abstract: We estimate the conditional value-at-risk (CoVaR), a measure for systemic risk, in order to assess the risk spillover within the cryptocurrency market and the risk spillover from the cryptocurrency market to traditional stock market. We conduct our analysis in three parts. We analyse: 1) the risk spillover of the largest cryptocurrencies, to the cryptocurrency system as a whole; 2) the risk spillover of the largest cryptocurrencies by, to the traditional stock market; 3) risk spillover amongst the six largest cryptocurrencies. Our results conclude Bitcoin generates the most risk in other cryptocurrencies and that there is no significant risk transfer from the stock market to the cryptocurrency market. The sub-period analysis reveals that the degree of conditional risk has unanimously reduced in the second sub-period for all cryptocurrencies. Amongst the seven largest cryptocurrencies, Ethereum is the largest risk contributor of risk for Bitcoin, followed by Binance coin and XRP.

Keywords: systemic risk; cryptocurrency; conditional value-at-risk; CoVaR; risk spillover; stock market; Bitcoin; value-at-risk; VaR.

DOI: 10.1504/GBER.2026.154017

Global Business and Economics Review, 2026 Vol.34 No.4, pp.420 - 439

Received: 03 Jul 2024
Accepted: 01 Oct 2024
Published online: 10 Jun 2026 *

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