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

Andrea Ugolini, Juan Reboredo and Walid Mensi

Finance Research Letters, 2023, vol. 53, issue C

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 (search for similar items in EconPapers)
JEL-codes: C32 G15 R30 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000661

DOI: 10.1016/j.frl.2023.103692

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