Higher moment risk transmission in token markets

Using 5-minute data of 16 cryptocurrency tokens belonging to 5 different categories (AI, Gaming, Meme, Layer 1/2, and FAN tokens), we investigate the risk transmission in higher moments, i.e. realized volatility (RV), realized skewness (RS), and realized kurtosis (RK), employing the TVP-VAR framework and robustness tests. We also perform six sub-sample investigations on various geopolitical and other systemic events. Ethereum, Binance Coin, and Ripple are strongly related to other tokens. Sandbox, Decentraland, and Enjin Coin lead spillover transmission, while Numeraire, Measurable Data Token, and Cryptex Finance absorb most of the shocks. The connections are stronger regarding RV than RS and RK, showing potential for tail-risk reduction, which is heterogeneous regarding extreme events. AI tokens are the least connected during normal conditions as well as most of the extreme events, except the US presidential Election, which puts these tokens in the centre of the system. The Israel-Palestine war, the FTX collapse, and the SEC approval of the first Bitcoin ETF are among the most important events regarding enhancement in the higher-moment risk transmission. Token market investors/traders and regulators can draw essential insights from our findings.