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

Authors :
Andrea Ugolini
Juan C. Reboredo
Walid Mensi
Ugolini, A
Reboredo, J
Mensi, W
Universidade de Santiago de Compostela. Departamento de Fundamentos da Análise Económica
Publication Year :
2023
Publisher :
Academic Press, 2023.

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 We would like to thank two anonymous reviewers for constructive and insightful comments. Juan C. Reboredo acknowledges financial support provided by the Agencia Estatal de Investigación (Ministerio de Ciencia, Innovación y Universidades) under research project with reference PID2021–124336OB-I00 co-funded by the European Regional Development Fund (ERDF/FEDER) SI

Details

Language :
English
Database :
OpenAIRE
Accession number :
edsair.doi.dedup.....76b140b4970eea25410f95cfb6570952