Interconnectivity among cryptocurrencies, NFTs, and DeFi: Evidence from the Russia-Ukraine conflict

Sanjeev Kumar, Ritesh Patel, Najaf Iqbal and Mariya Gubareva

The North American Journal of Economics and Finance, 2023, vol. 68, issue C

Abstract: We examine the linkages between fifteen major cryptocurrencies, NFTs, and DeFi assets before and during the Russia-Ukraine military conflict, using the TVP-VAR framework. We observe a high level of spillovers in the pre-conflict period that persists during the military confrontation. However, the topology of network connectedness changes during the Russia-Ukraine conflict as several digital assets are seen to alter their status from net recipient to net transmitter and vice-versa. Additionally, we report that stronger transmitting and receiving spillovers vis-à-vis the full sample are observed during the Russia-Ukraine military conflict. Ethereum, Chainlink, Bancor, BAT, and Bitcoin (Decentraland, Maker, DigiByte, and XRP) are consistent transmitters (receivers) of return spillovers. Chainlink and BAT (Bitcoin and XRP) are consistent transmitters (receivers) of volatility innovations. We report that the cryptocurrencies, as an asset class, play an important role in the absorption of the volatility shock coming from NFTs and DeFi assets. The digital asset classes the least associated with one another are those in the pair DeFi-cryptocurrencies. The findings have valuable implications for investors, portfolio managers, and policymakers.

Keywords: Cryptos; NFTs; DeFi; Russia-Ukraine military conflict (search for similar items in EconPapers)
JEL-codes: G11 G15 H56 (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:ecofin:v:68:y:2023:i:c:s1062940823001067

DOI: 10.1016/j.najef.2023.101983

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