Static and dynamic return and volatility connectedness between transportation tokens and transportation indices: Evidence from quantile connectedness approach

The aim of the study is to examine the return and volatility connectedness between transportation tokens and transportation stock indices. Since the QVAR model is used in the study, we can obtain information about the return and volatility connectedness between assets not only under normal market conditions but also under extreme market conditions. The return and volatility spillovers between transportation tokens and transportation stock indices are time-varying and also vary under different market conditions. Under normal market conditions, transportation tokens and transportation indices are largely unconnected. The return connectedness between the assets increases significantly during extreme market downturns and upturns, with similar increases in volatility connectedness during periods of extreme volatility. Return and volatility connectedness between assets are affected by extreme events such as COVID-19, the Russia–Ukraine war, and the collapse of the cryptocurrency market. The study investigates the determinants of total return and volatility connectedness between transportation tokens and transportation stock indices. It is found that EPU, GVZ, VIX, and crises are significant determinants affecting the return and volatility connectivity between transportation tokens and transportation stock indices across all market conditions. The results are significant for strategies to be implemented by investors and portfolio managers.