Assessing linkages between supply chain tokens and other assets: Evidence from a time-frequency quantile 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 return spillovers and hedging dynamics between supply chain tokens and traditional assets, including equities, currencies, bonds, gold, oil, and Bitcoin, using a time-frequency quantile connectedness approach. Findings reveal that while supply chain tokens exhibit weak connectedness with traditional assets during stable periods, heightened market volatility, such as during the COVID-19 pandemic, significantly increases return spillovers, particularly from equities and Bitcoin. Supply chain tokens offer some diversification potential, especially when paired with oil (WTI), but their effectiveness as hedging instruments varies by time horizon and market conditions. Optimal portfolio weights and hedge ratios suggest that investors should dynamically adjust allocations to mitigate risks effectively, particularly during market instability. These insights emphasize the need for adaptable portfolio strategies when integrating supply chain tokens with traditional assets.

Keywords: Supply chain tokens; Frequency connectedness; Extreme spillovers; Hedging strategies (search for similar items in EconPapers)
Date: 2025-06
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Published in Journal of Behavioral and Experimental Finance, 2025, 46, pp.101029. ⟨10.1016/j.jbef.2025.101029⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04993008

DOI: 10.1016/j.jbef.2025.101029

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