【Author】
Corbet, Shaen; Goodell, John W.; Gunay, Samet
【Source】FINANCE RESEARCH LETTERS
【Abstract】We comparatively assess drivers of DeFi token prices, testing the impact and connectedness between Bitcoin (as a cryptocurrency asset-class leader), Ethereum (as a platform for DeFi), and Google Trends (as a signal of investor attention). While we evidence varying causal linkages between Bitcoin or Ethereum and Defi tokens, these linkages are restricted to bear markets. In contrast, restricted MS-VAR (LR) modelling uncovers bi-causal relationships between DeFi tokens and investor sentiment in both bull and bear markets. We conclude that, rather than platform valuation, investor attention is a dominant driver of DeFi prices, with DeFi being a separate asset class from mainstream cryptocurrencies.
【Keywords】DeFi; Cryptocurrency; MS-VAR; Causality; Connectedness; Sentiment; DeFi; Cryptocurrency; MS-VAR; Causality; Connectedness; Sentiment
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