Please use this identifier to cite or link to this item:
Title: What drives the return and volatility spillover between DeFis and cryptocurrencies?
Authors: Assaf, Ata 
Demir, Ender
Ersan, Oguz
Affiliations: Department of Business Administration 
Keywords: Connectedness
Issue Date: 2024-01-01
Part of: International Journal of Finance and Economics
In this paper, we study the return and volatility connectedness between cryptocurrencies and DeFi Tokens, considering the impact of different uncertainty indices on their connectivity. Initially, we estimate a TVP-VAR model to obtain the total connectedness between the two markets. We find that returns on the cryptocurrencies transmit significantly larger shocks and, thus, are responsible for most variations in the majority of DeFis' returns. Then, to analyse the impact of uncertainty on total return and volatility connectedness, we use four factors, namely, Economic Policy Uncertainty (EPU), The Chicago Board Options Exchange Volatility Index (VIX), Infectious Disease Equity Market Volatility Tracker (ID-EMV) and Geopolitical Risks (GPR). We find that except for geopolitical risks, all three measures have a positive impact on return and volatility connectedness, while GPR exerts a negative impact. Finally, we provide implications for researchers, market participants and policymakers.
ISSN: 10769307
DOI: 10.1002/ijfe.2969
Type: Journal Article
Appears in Collections:Department of Business Administration

Show full item record

Record view(s)

checked on Jun 14, 2024

Google ScholarTM


Dimensions Altmetric

Dimensions Altmetric

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.