Abstract
We examine the dynamic lower tail dependence and downside risk spillover between the FTX Token and seven major cryptocurrencies using Rotated Gumbel copula and GARCH copula quantile regression-based ∆CoVaR models. Daily data is analyzed from May 1, 2020 to December 31, 2022. The results show a strong evidence of risk spillover effects from FTX Token to crypto markets. Solana, followed by Cardano, displays the largest downside risk spillover. Tether and Bitcoin are affected least by the FTX fallout, receiving the lowest downside risk spillovers. Furthermore, the dynamic risk spillover effects are heterogeneous over time and comparatively different for each cryptocurrency.
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