The return and volatility spillovers among decentralized finance (DeFi) assets

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-07-01 DOI:10.1016/j.ribaf.2025.103071

Sabbor Hussain , Jo-Hui Chen

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引用次数: 0

Abstract

This study investigates the interconnectedness, returns, and volatility spillovers among Non-Fungible Tokens (NFTs), cryptocurrencies, and FinTech Exchange-Traded Funds (ETFs), employing advanced econometric frameworks TVP-VAR, GARCH-ARMA, and EGARCH-ARMA to address gaps in understanding these emerging digital assets. This work integrates these advanced models and obtains new insights into dynamic relationships connected with asymmetric risk and responsive behaviors during the crisis. The findings reveal that NFTs and cryptocurrencies exhibit higher returns and greater volatility than FinTech ETFs, making them high-risk and high-reward investments. Dynamic spillover analysis identifies moderate connectedness, with cryptocurrencies dominating volatility transmission and NFTs driving return spillovers, while FinTech ETFs act as stabilizers. Crucially, the EGARCH–ARMA framework uncovers distinct leverage effects in NFTs and cryptocurrencies, where adverse shocks amplify volatility more than positive ones. During the COVID-19 pandemic, total connectedness underscores their sensitivity to external shocks. This study holistically analyzes these asset classes, offering actionable strategies for portfolio diversification, active risk management, and crisis mitigation in digital financial markets.

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去中心化金融（DeFi）资产的回报和波动性溢出效应

本研究调查了不可替代代币（nft）、加密货币和金融科技交易所交易基金（etf）之间的互联性、回报和波动性溢出，采用先进的计量经济学框架TVP-VAR、GARCH-ARMA和EGARCH-ARMA，以解决在理解这些新兴数字资产方面的差距。这项工作整合了这些先进的模型，并对危机期间不对称风险和反应性行为之间的动态关系获得了新的见解。研究结果显示，nft和加密货币比金融科技etf表现出更高的回报和更大的波动性，使其成为高风险和高回报的投资。动态溢出分析确定了适度的连通性，加密货币主导波动传导，nft推动回报溢出，而金融科技etf则起到稳定器的作用。至关重要的是，EGARCH-ARMA框架揭示了nft和加密货币中明显的杠杆效应，其中不利冲击比积极冲击更能放大波动性。在2019冠状病毒病大流行期间，完全连通性凸显了它们对外部冲击的敏感性。本研究全面分析了这些资产类别，为数字金融市场的投资组合多样化、主动风险管理和危机缓解提供了可行的策略。

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

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance