Connectedness between Defi assets and equity markets during COVID-19: A sector analysis

【Author】 Yousaf, Imran; Jareno, Francisco; Tolentino, Marta

【Source】TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE

【影响因子】10.884

【Abstract】This paper explores the dynamic connectedness between Defi assets and sector stock markets focused around the COVID-19 pandemic crisis. For that aim, this research applies the TVP-VAR model, and it also computes the optimal weights and hedge ratios for the Defi assets-sector equity portfolios using the DCC-GARCH model. Our main findings reveal that static connectedness is slightly economy-and sector-dependent. Regarding the dynamic connectedness, as expected, the total spillover index changes over time, showing a cruel impact of the global pandemic declaration. Net spillover indices show relevant differences between the Defi assets and certain sectors (net receivers) and sectors such as industrials, materials and information technology (time-varying net trans-mitters). Finally, the optimal hedge ratios reveal similar levels of coverage in all the periods analyzed, with slight upturns in the cost of such coverage in the crisis period caused by COVID-19.

【Keywords】Defi assets; Sector stock markets; Connectedness; COVID-19 pandemic crisis

【发表时间】2023 FEB

【收录时间】2023-05-23

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-DeFi