Volatility and return connectedness across decentralized finance assets, precious and industrial metals, green energy and technology markets

Remy Jonkam Oben (), Aliya Zhakanova Isiksal (), Ala Fathi Assi () and Faisal Faisal
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Remy Jonkam Oben: Near East University, Department of Business Administration
Aliya Zhakanova Isiksal: Near East University
Ala Fathi Assi: Near East University

Mineral Economics, 2025, vol. 38, issue 4, No 6, 869-890

Abstract: Abstract The revolutionary emergence of decentralised finance (DeFi) and sustainable investments have significantly reshaped the global financial landscape. This has created unprecedented interconnections between conventional and emerging asset classes. This study analyses the return and volatility connectedness among blockchain-based DeFi assets, traditional commodities (precious and industrial metals), and sustainable investments (S&P green markets) from March 15, 2018, to April 29, 2024, by employing the VAR-based Diebold and Yilmaz (2012) model. Results show that the DeFi tokens (S&P green markets) are moderately (highly) interconnected in returns and volatilities, while the metals display moderate returns but low volatility connections. Also, the DeFi tokens have extremely low return and volatility relations with traditional metals and green markets, suggesting significant potential for diversification. The total return (volatility) connectedness across all instruments is substantial (moderate) at 58.1% (45.2%). DeFi tokens and metals primarily act as net receivers of return and volatility, while S&P green markets are dominant net transmitters. The COVID-19 pandemic amplified transmissions across all instruments in early 2020. Given the findings, the study recommends that investors should capitalise on the low volatility relations among the instruments by strategically combining them to enhance the risk-adjusted returns of their portfolios. Graphical Abstract

Keywords: Volatility spillovers; Return spillovers; Decentralized finance (DeFi); Metal commodities; Green markets; Diebold-Yilmaz (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s13563-025-00507-9

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