Jump risk and high moment connectedness among cryptocurrencies: insights from pre-COVID, pandemic, and geopolitical tensions

Abstract

Abstract This study uses high-frequency price data to analyze risk connectivity among 15 cryptocurrencies, focusing on moments such as volatility, skewness, kurtosis, and jumps during the pre-COVID-19 era, the COVID-19 epidemic, and Russian-Ukrainian tensions. The results indicate that Ethereum Classic is a major shock transmitter in all periods, and this effect becomes more pronounced during geopolitical crises. In contrast, Stellar, Tezos, and Tron are important shock absorbers, particularly during market volatility. Jump risk analysis confirms the dominance of Ethereum Classic and its capacity to increase spillover risks during crises. For higher-order moments, the findings reveal that Bitcoin, Ethereum, and Dash are significant transmitters of skewness spreads, whereas Dash and Eos are significant transmitters of kurtosis spreads. Jump risk analysis confirms the dominance of Ethereum Classic and its capacity to increase spillover risks during crises. These findings highlight the need for targeted risk management strategies adjusted to cryptocurrency market dynamics.