Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets

Andrea Ugolini; Juan C. Reboredo; Walid Mensi

doi:10.1016/j.frl.2023.103692

Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets

Andrea Ugolini, Juan C. Reboredo^*, Walid Mensi

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

15 Citations (Scopus)

Abstract

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.

Original language	English
Article number	103692
Journal	Finance Research Letters
Volume	53
DOIs	https://doi.org/10.1016/j.frl.2023.103692
Publication status	Published - May 2023

Keywords

Cryptocurrency
DeFi
Financial conditions
Safe-haven asset
Spillovers

ASJC Scopus subject areas

Finance

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10.1016/j.frl.2023.103692

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title = "Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets",

abstract = "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.",

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author = "Andrea Ugolini and Reboredo, {Juan C.} and Walid Mensi",

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year = "2023",

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AU - Ugolini, Andrea

AU - Reboredo, Juan C.

AU - Mensi, Walid

PY - 2023/5

Y1 - 2023/5

N2 - 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.

AB - 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.

KW - Cryptocurrency

KW - DeFi

KW - Financial conditions

KW - Safe-haven asset

KW - Spillovers

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Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets

Abstract

Keywords

ASJC Scopus subject areas

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