Assessing linkages between supply chain tokens and other assets: Evidence from a time-frequency quantile connectedness approach

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance Pub Date : 2025-03-01 DOI:10.1016/j.jbef.2025.101029

Marouene Mbarek , Badreddine Msolli

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引用次数: 0

Abstract

This study assesses return spillovers and hedging dynamics between supply chain tokens and traditional assets, including equities, currencies, bonds, gold, oil, and Bitcoin, using a time-frequency quantile connectedness approach. Findings reveal that while supply chain tokens exhibit weak connectedness with traditional assets during stable periods, heightened market volatility, such as during the COVID-19 pandemic, significantly increases return spillovers, particularly from equities and Bitcoin. Supply chain tokens offer some diversification potential, especially when paired with oil (WTI), but their effectiveness as hedging instruments varies by time horizon and market conditions. Optimal portfolio weights and hedge ratios suggest that investors should dynamically adjust allocations to mitigate risks effectively, particularly during market instability. These insights emphasize the need for adaptable portfolio strategies when integrating supply chain tokens with traditional assets.

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评估供应链代币与其他资产之间的联系：来自时频分位数连通性方法的证据

本研究使用时频分位数连通性方法评估了供应链代币与传统资产（包括股票、货币、债券、黄金、石油和比特币）之间的回报溢出效应和对冲动态。调查结果显示，虽然供应链代币在稳定时期与传统资产的关联性较弱，但市场波动加剧（例如在2019冠状病毒病大流行期间）会显著增加回报溢出效应，尤其是来自股票和比特币的溢出效应。供应链代币提供了一些多样化的潜力，特别是当与石油（WTI）配对时，但它们作为对冲工具的有效性因时间范围和市场条件而异。最优投资组合权重和对冲比率表明，投资者应动态调整配置，以有效降低风险，特别是在市场不稳定时期。这些见解强调了在将供应链代币与传统资产集成时需要适应性强的投资组合策略。

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

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.