Abstract
This paper identifies the cryptocurrency market crashes and analyses its dynamics using the
complex network. We identify three distinct crashes during 2017–20, and the analysis is carried
out by dividing the time series into pre-crash, crash, and post-crash periods. Partial correlation
based complex network analysis is carried out to study the crashes. Degree density (𝜌𝐷), average
path length (̄𝑙), and average clustering coefficient (𝑐𝑐) are estimated from these networks. We
find that both 𝜌𝐷 and 𝑐𝑐 are smallest during the pre-crash period, and spike during the crash
suggesting the network is dense during a crash. Although 𝜌𝐷 and 𝑐𝑐 decrease in the postcrash
period, they remain higher than pre-crash levels for the 2017–18 and 2018–19 crashes
suggesting a market attempt to return to normalcy. We get ̄𝑙 is minimal during the crash period,
suggesting a rapid flow of information. A dense network and rapid information flow suggest
that during a crash uninformed synchronized panic sell-off happens. However, during the 2019–
20 crash, the values of 𝜌𝐷, 𝑐𝑐, and ̄𝑙 did not vary significantly, indicating minimal change in
dynamics compared to other crashes. The findings of this study may guide investors in making
decisions during market crashes.