ملخص
This paper examines return spillovers within and between different DeFi, cryptocurrency, stock, and safe-haven assets. For the period January 2019 to March 2022, we find that DeFi and cryptocurrency asset markets exhibit strong within-market and between-market return spillovers, that stock and safe-haven markets show weak connectedness, and that safe-haven assets are minor receivers and transmitters of between-market spillover effects. The connectedness between markets is time-varying and reveals structural changes in early 2020. Furthermore, we document that financial conditions shape the dynamics of return spillover effects between markets.
اللغة الأصلية | English |
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رقم المقال | 103692 |
دورية | Finance Research Letters |
مستوى الصوت | 53 |
المعرِّفات الرقمية للأشياء | |
حالة النشر | Published - مايو 2023 |
ASJC Scopus subject areas
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