Will cryptocurrencies ensure market capitalization during crisis?

Abstract

This paper identifies the impact of economic downturn on cryptocurrency’s valuation. Broadly, the study tries to analyse the impact of acute, moderate and median stressed state on top 25 cryptocurrencies using ∆𝐶𝑜𝑉𝑎𝑅 model. It estimates the change in cryptocurrency valuation at acute and moderate stress state and assigns ranks to the cryptocurrencies based on its susceptibility. It accesses the speed of adjustment of fall in cryptocurrency valuation to estimate the time required for the cryptocurrency to attain equilibrium using Koyck model. The study has practical implications for investors to gauge for any fall in cryptocurrency valuation and create a balanced portfolio during crisis.