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

【Author】 Ugolini, Andrea; Reboredo, Juan C.; Mensi, Walid

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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

【发表时间】2023 MAY

【收录时间】2023-04-10

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-DeFi