US presidential elections and cross-market spillovers: DCC-GARCH R2 analysis of crypto, DeFi, NFTs, and oil

Nidhal Mgadmi (), Fekria Belhouchet (), Néjib Hachicha () and Wajdi Moussa ()
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Nidhal Mgadmi: Quantitative Methods and Economics Department, Faculty of Economics and Management
Fekria Belhouchet: University of Sfax
Néjib Hachicha: Quantitative Methods and Finance Department, Faculty of Economics and Management
Wajdi Moussa: High Institute of Management

SN Business & Economics, 2025, vol. 5, issue 9, 1-36

Abstract: Abstract This study examines the impact of the 2024 U.S. presidential election on the returns of crypto-currencies, DeFi tokens, NFTs, and oil prices, using the DCC-GARCH R2 method. The results show that dynamic connectivity varies over time. Moreover, our results indicate that certain assets, particularly Ethereum, BAT, and XTZ, act as net shock transmitters that influence other financial markets, while oil primarily serves as a shock receiver. Interestingly, Bitcoin is typically viewed as a haven. Optimized portfolios using Minimum Variance Portfolio (MVP) and Minimum Risk Portfolio (MRP) strategies yield superior risk-adjusted returns, especially during volatility spikes. The results have important implications for policymakers, investors, and risk managers.

Keywords: DCC-GARCH R2; Dynamic connectivity; DeFi tokens; NFTs; Crypto-currencies (search for similar items in EconPapers)
JEL-codes: G1 G10 G23 Q4 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s43546-025-00898-5

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