{"title":"Interlinkage between lending and borrowing tokens and US equity sector: Implications for social finance","authors":"Shoaib Ali , Ting Zhang , Imran Yousaf","doi":"10.1016/j.ribaf.2024.102630","DOIUrl":null,"url":null,"abstract":"<div><div>Decentralized peer-to-peer social network-based platforms and financial products (i.e., tokens) are emerging phenomena in the area of social finance. This paper explores the return and volatility spillovers between Lending and Borrowing tokens and US equity sectors using the TVP-VAR framework. The results indicate a considerable static return and volatility spillovers between tokens and sectors. Most equity sectors are net transmitters of return and volatility spillovers, whereas tokens are more net receivers. Moreover, our findings show that dynamic return and volatility spillovers vary over time and experience a significant rise during the initial phase of the Russia-Ukraine conflict in the second quarter of 2022. Finally, we explore the portfolio implication of DeFi and find that the hedge effectiveness scores are significantly greater than zero at a 1 % significant level for all optimal weights and hedge ratios of sector/token pairs, suggesting that investors and portfolio managers should consider adding tokens to their equity sector portfolios and adjust the portfolio allocations over time to achieve diversification benefits. This paper explores the association between social finance-based emerging tokens and traditional equity markets, providing insightful information to policymakers and portfolio managers regarding diversification, hedging, and risk management.</div></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":"73 ","pages":"Article 102630"},"PeriodicalIF":6.3000,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Research in International Business and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0275531924004239","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
Decentralized peer-to-peer social network-based platforms and financial products (i.e., tokens) are emerging phenomena in the area of social finance. This paper explores the return and volatility spillovers between Lending and Borrowing tokens and US equity sectors using the TVP-VAR framework. The results indicate a considerable static return and volatility spillovers between tokens and sectors. Most equity sectors are net transmitters of return and volatility spillovers, whereas tokens are more net receivers. Moreover, our findings show that dynamic return and volatility spillovers vary over time and experience a significant rise during the initial phase of the Russia-Ukraine conflict in the second quarter of 2022. Finally, we explore the portfolio implication of DeFi and find that the hedge effectiveness scores are significantly greater than zero at a 1 % significant level for all optimal weights and hedge ratios of sector/token pairs, suggesting that investors and portfolio managers should consider adding tokens to their equity sector portfolios and adjust the portfolio allocations over time to achieve diversification benefits. This paper explores the association between social finance-based emerging tokens and traditional equity markets, providing insightful information to policymakers and portfolio managers regarding diversification, hedging, and risk management.
期刊介绍:
Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance