 Tokens and cryptocurrencies: Evidence from asymmetric frequency connectedness approachMarouene Mbarek and Badreddine Msolli Research in International Business and Finance, 2025, vol. 77, issue PA Abstract: This study assesses the asymmetric return spillovers between specific token sectors and conventional cryptocurrencies using a time-varying parameter vector autoregressive-based asymmetric frequency connectedness approach. The results indicate that linkages over positive returns are weaker than those over negative returns, highlighting the asymmetric reactions of crypto investors to both positive and negative news. Furthermore, connectedness is driven by high frequency, providing diversification benefits to portfolio managers who favor long-term investments. Additionally, tokens from the healthcare and transportation sectors are net recipients, while conventional cryptocurrencies are net transmitters of spillovers. AI tokens, MED, and XRP exhibit changes across domain frequency and market situations. Portfolio analysis indicates that tokens serve as the most cost-effective hedging during normal times and market upturns but become expensive during market downturns. Keywords: Frequency connectedness; Asymmetric spillovers; Tokens; Cryptocurrencies; Portfolio diversification (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001400 DOI: 10.1016/j.ribaf.2025.102884 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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