Return spillovers between decentralized finance and centralized finance markets

IF 2.5 Q2 ECONOMICS Eurasian Economic Review Pub Date : 2024-02-16 DOI:10.1007/s40822-023-00260-w

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Abstract

This study investigates the dynamic return connectedness among Decentralized Finance (DeFi) assets [Chainlink (LINK), Maker (MAKER), Basic Attention Token (BAT), and Synthetix (SNX)] and Centralized Financial assets (CeFi), specifically MSCI World, MSCI US, MSCI Europe, MSCI East Europe, MSCI Asia, and MSCI Far East. The Time-Varying Parameter Vector Autoregressions (TVP-VAR) framework is adopted. Our research findings demonstrate that economic events create variations in the dynamic connectedness of a system. There were peaks throughout the COVID-19 pandemic. Furthermore, the results indicate that DeFi assets like BAT and LINK are the most common shock transmitters, while MAKER and SNX are the most common shock receivers. Nonetheless, the pairwise connectedness for LINK and MSCI Far EAST (FarEAST) shows that may not only influence other markets but are also equally receptive to innovations that occur in the majority of these markets due to their high pairwise links. The retrieved evidence has major implications for investors in terms of the creation of strategies for the optimization of portfolios and asset allocation, the minimizing of downside risk, and hedging techniques.

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分散金融市场与集中金融市场之间的回报溢出效应

摘要本研究探讨了去中心化金融（DeFi）资产[Chainlink (LINK)、Maker (MAKER)、Basic Attention Token (BAT)和 Synthetix (SNX)]与中心化金融资产（CeFi）之间的动态回报关联性，具体包括 MSCI 全球、MSCI 美国、MSCI 欧洲、MSCI 东欧、MSCI 亚洲和 MSCI 远东。研究采用了时变参数向量自回归（TVP-VAR）框架。我们的研究结果表明，经济事件会造成系统动态关联性的变化。在整个 COVID-19 大流行期间都出现了峰值。此外，研究结果表明，BAT 和 LINK 等 DeFi 资产是最常见的冲击发射器，而 MAKER 和 SNX 则是最常见的冲击接收器。不过，LINK 和 MSCI Far EAST（FarEAST）的成对关联度表明，由于它们的成对关联度高，它们不仅可能影响其他市场，而且也同样能接受大多数这些市场出现的创新。检索到的证据对投资者制定优化投资组合和资产配置的策略、最大限度地降低下跌风险以及对冲技术具有重要意义。

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来源期刊

Eurasian Economic Review ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

期刊介绍： The mission of Eurasian Economic Review is to publish peer-reviewed empirical research papers that test, extend, or build theory and contribute to practice. All empirical methods - including, but not limited to, qualitative, quantitative, field, laboratory, and any combination of methods - are welcome. Empirical, theoretical and methodological articles from all fields of finance and applied macroeconomics are featured in the journal. Theoretical and/or review articles that integrate existing bodies of research and that provide new insights into the field are highly encouraged. The journal has a broad scope, addressing such issues as: financial systems and regulation, corporate and start-up finance, macro and sustainable finance, finance and innovation, consumer finance, public policies on financial markets within local, regional, national and international contexts, money and banking, and the interface of labor and financial economics. The macroeconomics coverage includes topics from monetary economics, labor economics, international economics and development economics. Eurasian Economic Review is published quarterly. To be published in Eurasian Economic Review, a manuscript must make strong empirical and/or theoretical contributions and highlight the significance of those contributions to our field. Consequently, preference is given to submissions that test, extend, or build strong theoretical frameworks while empirically examining issues with high importance for theory and practice. Eurasian Economic Review is not tied to any national context. Although it focuses on Europe and Asia, all papers from related fields on any region or country are highly encouraged. Single country studies, cross-country or regional studies can be submitted.