Publication
Spillover dynamics in DeFi, G7 banks, and equity markets during global crises: a TVP-VAR analysis
| dc.contributor.author | Younis, Ijaz | |
| dc.contributor.author | Gupta, Himani | |
| dc.contributor.author | Du, Anna Min | |
| dc.contributor.author | Shah, Waheed Ullah | |
| dc.contributor.author | Hanif, Waqas | |
| dc.date.accessioned | 2024-09-04T08:46:12Z | |
| dc.date.available | 2024-09-04T08:46:12Z | |
| dc.date.issued | 2024-06 | |
| dc.description.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. | eng |
| dc.identifier.doi | 10.1016/j.ribaf.2024.102405 | |
| dc.identifier.issn | 0275-5319 | |
| dc.identifier.uri | http://hdl.handle.net/10400.1/25836 | |
| dc.language.iso | eng | |
| dc.peerreviewed | yes | |
| dc.publisher | Elsevier | |
| dc.relation.ispartof | Research in International Business and Finance | |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.subject | DeFi | |
| dc.subject | G7 banks and equity markets | |
| dc.subject | Crypto bubble | |
| dc.subject | Ukrainian | |
| dc.subject | War | |
| dc.subject | COVID-19 | |
| dc.title | Spillover dynamics in DeFi, G7 banks, and equity markets during global crises: a TVP-VAR analysis | eng |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.startPage | 102405 | |
| oaire.citation.title | Research in International Business and Finance | |
| oaire.citation.volume | 70 | |
| oaire.version | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |
| person.familyName | Hanif | |
| person.givenName | Waqas | |
| person.identifier.ciencia-id | 861A-7BB4-89FE | |
| person.identifier.orcid | 0000-0002-0034-2049 | |
| person.identifier.scopus-author-id | 57201879548 | |
| relation.isAuthorOfPublication | 4a080072-0db9-42cd-925b-24ccf0c4b046 | |
| relation.isAuthorOfPublication.latestForDiscovery | 4a080072-0db9-42cd-925b-24ccf0c4b046 |