Finance research letters,
Journal Year:
2023,
Volume and Issue:
53, P. 103692 - 103692
Published: Feb. 10, 2023
This
paper
examines
return
spillovers
within
and
between
different
DeFi,
cryptocurrency,
stock,
safe-haven
assets.
For
the
period
January
2019
to
March
2022,
we
find
that
DeFi
cryptocurrency
asset
markets
exhibit
strong
within-market
between-market
spillovers,
stock
show
weak
connectedness,
assets
are
minor
receivers
transmitters
of
spillover
effects.
The
connectedness
is
time-varying
reveals
structural
changes
in
early
2020.
Furthermore,
document
financial
conditions
shape
dynamics
effects
markets.
Financial Innovation,
Journal Year:
2023,
Volume and Issue:
9(1)
Published: May 5, 2023
This
study
examines
the
connectedness
in
high-order
moments
between
cryptocurrency,
major
stock
(U.S.,
U.K.,
Eurozone,
and
Japan),
commodity
(gold
oil)
markets.
Using
intraday
data
from
2020
to
2022
time
frequency
models
of
Diebold
Yilmaz
(Int
J
Forecast
28(1):57-66,
2012)
Baruník
Křehlík
(J
Financ
Econom
16(2):271-296,
2018),
we
investigate
spillovers
among
markets
realized
volatility,
jump
component
skewness,
kurtosis.
These
higher-order
allow
us
identify
unique
characteristics
financial
returns,
such
as
asymmetry
fat
tails,
thereby
capturing
various
market
risks
downside
risk
tail
risk.
Our
results
show
that
stock,
are
highly
connected
terms
volatility
while
their
skewness
kurtosis
is
smaller.
Moreover,
more
persistent
than
connectedness.
rolling-window
analysis
shows
varies
over
across
all
moments,
tends
increase
during
periods
high
uncertainty.
Finally,
potential
gold
oil
hedging
safe-haven
investments
for
other
given
they
least
investment
horizons.
findings
provide
useful
information
designing
effective
portfolio
management
cryptocurrency
regulations.
