【Author】
Ugolini, Andrea; Reboredo, Juan C.; Mensi, Walid
【Source】FINANCE RESEARCH LETTERS
【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.
【Keywords】DeFi; Cryptocurrency; Safe -haven asset; Financial conditions; Spillovers
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