Tokens and cryptocurrencies: Evidence from asymmetric frequency connectedness approach

Marouene Mbarek () and Badreddine Msolli
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Marouene Mbarek: ESPI2R - Laboratoire ESPI2R Research in Real Estate [Nantes] - ESPI - Ecole Supérieure des Professions Immobilières, LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Nantes Univ - IAE Nantes - Nantes Université - Institut d'Administration des Entreprises - Nantes - Nantes Université - pôle Sociétés - Nantes Univ - Nantes Université
Badreddine Msolli: ESSCA - ESSCA – École supérieure des sciences commerciales d'Angers = ESSCA Business School

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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 favour 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)
Date: 2025-04
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Published in Research in International Business and Finance, 2025, pp.102884. ⟨10.1016/j.ribaf.2025.102884⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05024252

DOI: 10.1016/j.ribaf.2025.102884

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