Unlike conventional studies on the risk dynamics of cryptocurrency markets, this paper innovatively distinguishes between good and bad volatility to more accurately measure the market's risk spillover under both good and bad shocks. By constructing a network of cryptocurrency market risk spillovers, we delve into the asymmetry between good and bad volatility in the context of risk spillover. Specifically, this study focuses on the risk spillover characteristics during the LUNA and the FTX crises, aiming to uncover the unique manifestations of market risk during this tumultuous period. We find that, overall, the risk spillover from bad volatility tends to exceed that from good volatility. However, at higher levels of risk spillover, the spillovers from good volatility significantly exceed those from bad ones. This observation substantiates the notion that spillovers from good volatility are more likely to accumulate risks, potentially triggering a crisis. This research not only aids investors in better understanding the risk structure of the cryptocurrency market but also provides regulatory bodies with a reference for formulating risk control strategies, thereby holding significant implications for the healthy development of the cryptocurrency market.

中文翻译：

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加密货币市场上行和下行风险的不对称效应：来自 LUNA 和 FTX 危机的见解


与传统的加密货币市场风险动态研究不同，本文创新性地区分了好波动性和坏波动性，以更准确地衡量市场在好冲击和坏冲击下的风险溢出。通过构建加密货币市场风险溢出网络，我们深入研究了风险溢出背景下波动性的好坏之间的不对称性。具体来说，本研究重点关注LUNA和FTX危机期间的风险溢出特征，旨在揭示这一动荡时期市场风险的独特表现。我们发现，总体而言，不良波动性带来的风险溢出往往超过良好波动性带来的风险溢出。然而，在风险溢出水平较高的情况下，良好波动性的溢出效应显着超过不良波动性的溢出效应。这一观察证实了这样一种观点，即良好波动性的溢出效应更有可能积累风险，从而可能引发危机。该研究不仅有助于投资者更好地了解加密货币市场的风险结构，也为监管机构制定风险控制策略提供参考，对加密货币市场的健康发展具有重要意义。