 Dynamic risk and hedging strategies in post-COVID digital asset sectorsSeungOh Han Research in International Business and Finance, 2025, vol. 75, issue C Abstract: Time-varying parameter vector autoregressive models analyze post-pandemic risk spillover dynamics within equally-weighted digital asset sectors, focusing on the year following the COVID-19 pandemic declaration. This analysis highlights an initial surge in pandemic-induced spillovers, followed by a gradual decline, underscoring market resilience. Stablecoins are identified as primary net receivers of volatility, while Smart-contract, Binance-chain, and DeFi sectors emerge as main net transmitters. Frequency-based analysis reveals these sectors predominantly drive short-term spillover dynamics. Long/short portfolio assessments pinpoint Smart-contract tokens as the most effective post-pandemic hedgers, with NFT, Metaverse, and DeFi showing substantial increases in hedging effectiveness. This identification of efficient hedgers proves consistent across various specifications, including value-weighted indices, individual assets, alternative post-outbreak periods, extended post-pandemic periods, and different lag lengths. Keywords: Digital asset sectors; COVID-19 pandemic; TVP-VAR; Time connectedness; Frequency connectedness; Hedged portfolios (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:75:y:2025:i:c:s027553192400535x DOI: 10.1016/j.ribaf.2024.102742 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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