Connectedness between traditional finance, cryptocurrencies and DeFi in the post COVID period

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2025-04-01 Epub Date: 2025-02-15 DOI:10.1016/j.frl.2025.106897

Luz Parrondo , Carlo Sala

引用次数: 0

Abstract

This paper examines the post-COVID-19 dynamic return and volatility connectedness between Decentralized Finance (DeFi) assets, cryptocurrencies, and traditional financial markets. Through a comprehensive dynamic analysis, the study shows that after the spike in interconnectedness during the COVID-19 crisis, the linkages between these assets and traditional markets returned to generally low, pre-crisis levels. However, macroeconomic shocks, such as anticipated interest rate increases, occasionally disrupt this stability, temporarily intensifying market interconnections. The results indicate that while DeFi and cryptocurrencies may offer diversification benefits, their effectiveness might diminish when mostly needed.

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后COVID时期传统金融、加密货币和DeFi之间的连通性

本文研究了covid -19后去中心化金融（DeFi）资产、加密货币和传统金融市场之间的动态回报和波动性连通性。通过全面的动态分析，该研究表明，在2019冠状病毒病危机期间互联性飙升之后，这些资产与传统市场之间的联系恢复到危机前的普遍较低水平。然而，宏观经济冲击，如预期的加息，偶尔会破坏这种稳定，暂时加强市场的相互联系。结果表明，虽然DeFi和加密货币可能提供多样化的好处，但在最需要的时候，它们的有效性可能会降低。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance