article · Finance research letters
Analysis of return spillovers across decentralised finance, cryptocurrency, equity, and safe-haven asset markets from January 2019 to March 2022 reveals distinct interaction patterns. Strong return spillovers occur both within and between decentralised finance and cryptocurrency markets. Conversely, stock and safe-haven asset markets display weak overall connectedness. Safe-haven assets act as only minor transmitters and receivers of spillover effects across different asset classes. The degree of connectedness across these markets varies over time, exhibiting noticeable structural shifts in early 2020. In addition, prevailing broader financial conditions play a significant role in shaping how return spillovers operate across these distinct financial asset classes.
Understanding how risks and returns transmit across emerging digital assets and conventional markets is essential for financial monitoring. By demonstrating that decentralised finance closely mirrors cryptocurrency but remains weakly tied to safe havens and equities, the findings help market participants and regulators recognise how shocks propagate through novel financial systems during shifting market conditions.
The abstract does not indicate an application pathway.
AI-generated from the published abstract. Always read the original work before citing.
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.
This page summarises published work. The authoritative version sits with the publisher.
DOI: 10.1016/j.frl.2023.103692
Is something wrong with this record? Report it or request removal.
Discussion
Have you built on this work, tried to replicate it, or seen it applied in practice? Share what you know. Verified researchers and MARATTO™ domain experts can open a discussion, and any member can reply. Contributions are reviewed before they appear.
No discussion yet. Open the first thread.
New to MARATTO™? Create a free account.
