Ijaz Younis
Spillover Dynamics in DeFi, G7 Banks, and Equity Markets During Global Crises: A TVP-VAR Analysis
Younis, Ijaz; Gupta, Himani; Du, Anna Min; Ullah Shah, Waheed; Hanif, Waqas
Abstract
Decentralized finance (DeFi) has become of significant interest for investors in both the financial and digital sectors. We use a time-varying parameter vector autoregression (TVP-VAR) approach to estimate the static and dynamic connections between and within DeFi, G7 banking, and equity markets. We focus on critical events such as the COVID-19 pandemic, the cryptocurrency bubble, and the Russia-Ukraine conflict. The results highlight interconnectedness and significant spillovers within and between the markets, especially during the COVID-19 pandemic. Notably, there were significant spillover effects from the G7 banking and equity markets to Japan and DeFi assets. The findings demonstrate a robust connection between DeFi platforms, G7 banking, and stock markets throughout these tumultuous periods. Policymakers, investors, and entrepreneurs are recommended to keep a close eye on changes in traditional banking and equity markets to adjust the risk of DeFi assets.
Citation
Younis, I., Gupta, H., Du, A. M., Ullah Shah, W., & Hanif, W. (2024). Spillover Dynamics in DeFi, G7 Banks, and Equity Markets During Global Crises: A TVP-VAR Analysis. Research in International Business and Finance, 70(Part B), Article 102405. https://doi.org/10.1016/j.ribaf.2024.102405
Journal Article Type | Article |
---|---|
Acceptance Date | May 23, 2024 |
Online Publication Date | May 27, 2024 |
Publication Date | 2024-06 |
Deposit Date | May 30, 2024 |
Publicly Available Date | May 30, 2024 |
Print ISSN | 0275-5319 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 70 |
Issue | Part B |
Article Number | 102405 |
DOI | https://doi.org/10.1016/j.ribaf.2024.102405 |
Keywords | DeFi, G7 banks and equity markets, Crypto bubble, Ukrainian War, COVID-19 |
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Spillover Dynamics In DeFi, G7 Banks, And Equity Markets During Global Crises: A TVP-VAR Analysis (accepted version)
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Spillover dynamics in DeFi, G7 banks, and equity markets during global crises: A TVP-VAR analysis
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Publisher Licence URL
http://creativecommons.org/licenses/by-nc-nd/4.0/
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