Assessing the crypto market stability after the FTX collapse: A study of high frequency volatility and connectedness
研究了FTX破产前后FTT代币与主要加密货币（包括山寨币和稳定币）的日内波动关联性，发现破产事件加剧了整体波动，且稳定币受影响最大，FTT是主要净贡献者。
This study examines the intraday volatility connectedness between the FTT token and the major cryptocurrencies (altcoins and stablecoins) surrounding the FTX bankruptcy. Intraday hourly volatility time series are estimated by using a mcGARCH model and then applied to provide network connectedness measures via the TVP-VAR model. Our results suggest that FTX's bankruptcy has increased the overall intraday volatility in the crypto markets. Surprisingly, we reveal that stablecoins are the most affected tokens after the FTX collapse. FTT plays a key role as the main net contributor to the system (confirmed by several robustness tests), whereas USD Coin is shown to be a net receiver from the system. The application of the results to active portfolio management remains to be investigated.