This study is an extension of the work by Xu et al. (2021, Finance Research Letters, vol. 38, p. 101453). We analyse tail-risk spillovers among 63 cryptocurrencies and identify systemically important cryptocurrencies using a Tail-Event driven NETwork (TENET)-based approach as proposed by Fan et al. (2018, Journal of Business & Economic Statistics, vol. 36, pp. 212–226). We observe that cryptocurrencies with high market capitalization, such as Bitcoin, Ethereum and XRP, have weaker spillovers compared to other cryptocurrencies. We find that Bitcoin is the largest systemic risk receiver and Bitcoin Cash is the largest systemic risk emitter. Bitcoin Cash is the most interactive cryptocurrency. This study helps in understanding tail-risk dependency across cryptocurrencies and thereby can be valuable for portfolio creation and risk mitigation purposes.
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