Yousaf Imran, Jareño Francisco, Tolentino Marta
College of Business and Public Management, Wenzhou-Kean University, Wenzhou, China.
Department of Economics and Finance, University of Castilla-La Mancha, Albacete, Spain.
Technol Forecast Soc Change. 2023 Feb;187:122174. doi: 10.1016/j.techfore.2022.122174. Epub 2022 Nov 14.
This paper explores the dynamic connectedness between Defi assets and sector stock markets focused around the COVID-19 pandemic crisis. For that aim, this research applies the TVP-VAR model, and it also computes the optimal weights and hedge ratios for the Defi assets-sector equity portfolios using the DCC-GARCH model. Our main findings reveal that static connectedness is slightly economy- and sector-dependent. Regarding the dynamic connectedness, as expected, the total spillover index changes over time, showing a cruel impact of the global pandemic declaration. Net spillover indices show relevant differences between the Defi assets and certain sectors (net receivers) and sectors such as industrials, materials and information technology (time-varying net transmitters). Finally, the optimal hedge ratios reveal similar levels of coverage in all the periods analyzed, with slight upturns in the cost of such coverage in the crisis period caused by COVID-19.
本文探讨了去中心化金融（DeFi）资产与围绕新冠疫情危机的行业股票市场之间的动态关联性。为此，本研究应用了时变参数向量自回归（TVP-VAR）模型，并使用动态条件相关广义自回归条件异方差（DCC-GARCH）模型计算了DeFi资产-行业股票投资组合的最优权重和套期保值比率。我们的主要研究结果表明，静态关联性在一定程度上依赖于经济和行业。关于动态关联性，正如预期的那样，总溢出指数随时间变化，显示出全球疫情宣布带来的严重影响。净溢出指数显示了DeFi资产与某些行业（净接受者）以及工业、原材料和信息技术等行业（时变净传输者）之间的显著差异。最后，最优套期保值比率在所有分析期间显示出相似的覆盖水平，在新冠疫情引发的危机期间，此类套期保值成本略有上升。
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