Connectedness between Defi, Cryptocurrency, Stock, and Safe-Haven Assets

16 Pages Posted: 24 Nov 2022

See all articles by Juan C. Reboredo

Juan C. Reboredo

Universidade de Santiago de Compostela - Faculty of Economic Science and Business Studies

Walid Mensi

Sultan Qaboos University

Andrea Ugolini

Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS)

Abstract

This paper examines return spillovers within and between different DeFi, cryptocurrency, stock and safe-haven assets. The results show that DeFi and cryptocurrency asset markets exhibit strong within-market and between-market return spillovers, that stock and safe-haven markets show weak connectedness, and that safe-haven assets are minor receivers and transmitters of between-market spillover effects. The connectedness between markets is time varying and reveals structural changes in early 2020. Furthermore, we document that financial conditions shape the dynamics of return spillover effects between markets.

Keywords: DeFi, Cryptocurrency, Safe-haven asset, Financial conditions, Spillovers.

Suggested Citation

Reboredo, Juan C. and Mensi, Walid and Ugolini, Andrea, Connectedness between Defi, Cryptocurrency, Stock, and Safe-Haven Assets. Available at SSRN: https://ssrn.com/abstract=4285455

Juan C. Reboredo (Contact Author)

Universidade de Santiago de Compostela - Faculty of Economic Science and Business Studies ( email )

Avda. Juan XXIII s/n
Santiago, A Coruña 15704
Spain

Walid Mensi

Sultan Qaboos University ( email )

Andrea Ugolini

Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) ( email )

Piazza dell'Ateneo Nuovo, 1
Milan, 20126
Italy

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