Politická ekonomie 2024, 72(3):565-596 | DOI: 10.18267/j.polek.1416

Price Spillovers from Decentralized Finance to CEE Stock Markets

Ngo Thai Hung ORCID...
University of Finance-Marketing, Ho Chi Minh City, Vietnam

Decentralized finance (DeFi) is a brand-new disruptive procedure that encourages the use of blockchain technology for developing and distributing a variety of financial goods and services. This study investigates the time-varying and asymmetric interplay between DeFi and CEE stock returns, concentrated around the COVID-19 outbreak and the Russo-Ukrainian conflict. While the associations between other cryptocurrencies and conventional assets have been studied, DeFi assets have not. For this purpose, we employ the multivariate DECO-GARCH model and cross-quantilogram framework. The results reveal a positive equicorrelation between DeFi and CEE stock market returns. Notably, the influence of DeFi on CEE stock markets is greater during the COVID-19 outbreak and the Russo-Ukrainian conflict than in the other periods. Furthermore, the cross-quantilogram estimations uncover that CEE stock markets depend less on the DeFi market at longer lag lengths. This means that the diversification benefits of DeFi against CEE stock market returns are more important for long-run investment horizons. In general, our research offers a new understanding of dependence structures, which might help investors make better investment decisions and direct their trading strategies.

Keywords: DeFi, stock markets, DECO-GARCH, cross-quantilogram, CEE regions
JEL classification: C58, G11, G15

Vloženo: 30. květen 2023; Revidováno: 17. září 2023; Přijato: 9. říjen 2023; Zveřejněno: 24. červen 2024  Zobrazit citaci

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Hung, N.T. (2024). Price Spillovers from Decentralized Finance to CEE Stock Markets. Politická ekonomie, 72(3), 565-596. doi: 10.18267/j.polek.1416
Stáhnout citaci
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Zobrazit celý článek

    Reference

    1. Ahmed, S., Assaf, R., Rahman, M. R., et al. (2023). Is geopolitical risk interconnected? Evidence from Russian-Ukraine crisis. The Journal of Economic Asymmetries, 28(4), e00306. https://doi.org/10.1016/j.jeca.2023.e00306 Přejít k původnímu zdroji...
    2. Alshater, M. M., Alqaralleh, H., El Khoury, R. (2023). Dynamic asymmetric connectedness in technological sectors. The Journal of Economic Asymmetries, 27(7), e00287. https://doi.org/10.1016/j.jeca.2022.e00287 Přejít k původnímu zdroji...
    3. Ali, S., Ijaz, M. S., Yousaf, I. (2023). Dynamic spillovers and portfolio risk management between defi and metals: Empirical evidence from the Covid-19. Resources Policy, 83, 103672. https://doi.org/10.1016/j.resourpol.2023.103672 Přejít k původnímu zdroji...
    4. Bennett, D., Mekelburg, E., Williams, T. H. (2023). BeFi meets DeFi: A behavioral finance approach to decentralized finance asset pricing. Research in International Business and Finance, 65, 101939. https://doi.org/10.1016/j.ribaf.2023.101939 Přejít k původnímu zdroji...
    5. Bhimani, A., Hausken, K., Arif, S. (2022). Do national development factors affect cryptocurrency adoption?. Technological Forecasting and Social Change, 181, 121739. https://doi.org/10.1016/j.techfore.2022.121739 Přejít k původnímu zdroji...
    6. Beck, K., Stanek, P. (2019). Globalization or regionalization of stock markets? The Case of central and eastern European countries. Eastern European Economics, 57(4), 317-330. https://doi.org/10.1080/00128775.2019.1610895 Přejít k původnímu zdroji...
    7. Bejaoui, A., Frikha, W., Jeribi, A., et al. (2023). Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis. Physica A: Statistical Mechanics and its Applications, 619, 128720. https://doi.org/10.1016/j.physa.2023.128720 Přejít k původnímu zdroji...
    8. Chu, J., Chan, S., Zhang, Y. (2023). An analysis of the return-volume relationship in decentralised finance (DeFi). International Review of Economics & Finance, 85, 236-254. https://doi.org/10.1016/j.iref.2023.01.006 Přejít k původnímu zdroji...
    9. Cevik, E. I., Gunay, S., Zafar, M. W., et al. (2022). The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold. Resources Policy, 79(C), 103081. https://doi.org/10.1016/j.resourpol.2022.103081 Přejít k původnímu zdroji...
    10. Corbet, S., Goodell, J. W., Günay, S. (2022). What drives DeFi prices? Investigating the effects of investor attention. Finance Research Letters, 48, 102883. https://doi.org/10.1016/j.frl.2022.102883 Přejít k původnímu zdroji...
    11. Chu, J., Chan, S., Zhang, Y. (2023). An analysis of the return-volume relationship in decentralised finance (DeFi). International Review of Economics & Finance, 85, 236-254. https://doi.org/10.1016/j.iref.2023.01.006 Přejít k původnímu zdroji...
    12. Chowdhury, M. A. F., Abdullah, M., Alam, M., et al. (2023). NFTs, DeFi, and other assets efficiency and volatility dynamics: An asymmetric multifractality analysis. International Review of Financial Analysis, 87, 102642. https://doi.org/10.1016/j.irfa.2023.102642 Přejít k původnímu zdroji...
    13. Corbet, S., Goodell, J. W., Gunay, S., et al. (2023). Are DeFi tokens a separate asset class from conventional cryptocurrencies? Annals of Operations Research, 322(2), 609-630. https://doi.org/10.1007/s10479-022-05150-z Přejít k původnímu zdroji...
    14. Corbet, S., Lucey, B., Urquhart, A., et al. (2019). Cryptocurrencies as a financial asset: A systematic analysis. International Review of Financial Analysis, 62, 182-199. https://doi.org/10.1016/j.irfa.2018.09.003 Přejít k původnímu zdroji...
    15. Dai, Z., Zhu, J., Zhang, X. (2022). Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment. Energy Economics, 114, 106226. https://doi.org/10.1016/j.eneco.2022.106226 Přejít k původnímu zdroji...
    16. Demiralay, S., Golitsis, P. (2021). On the dynamic equicorrelations in cryptocurrency market. The Quarterly Review of Economics and Finance, 80, 524-533. https://doi.org/10.1016/j.qref.2021.04.002 Přejít k původnímu zdroji...
    17. Engle, R., Kelly, B. (2012). Dynamic equicorrelation. Journal of Business & Economic Statistics, 30(2), 212-228. Přejít k původnímu zdroji...
    18. Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350. Přejít k původnímu zdroji...
    19. Fabozzi, F. J., Gupta, F., Markowitz, H. M. (2002). The legacy of modern portfolio theory. The journal of investing, 11(3), 7-22. https://doi.org/10.3905/joi.2002.319510 Přejít k původnímu zdroji...
    20. Gambarelli, L., Marchi, G., Muzzioli, S. (2023). Hedging effectiveness of cryptocurrencies in the European stock market. Journal of International Financial Markets, Institutions and Money, 84, 101757. https://doi.org/10.1016/j.intfin.2023.101757 Přejít k původnímu zdroji...
    21. Ghosh, I., Alfaro-Cortés, E., Gámez, M., et al. (2023b). Prediction and interpretation of daily NFT and DeFi prices dynamics: Inspection through ensemble machine learning & XAI. International Review of Financial Analysis, 87, 102558. https://doi.org/10.1016/j.irfa.2023.102558 Přejít k původnímu zdroji...
    22. Ghosh, B., Kazouz, H., Umar, Z. (2023a). Do Automated Market Makers in DeFi Ecosystem Exhibit Time-Varying Connectedness during Stressed Events? Journal of Risk and Financial Management, 16(5), 259. https://doi.org/10.3390/jrfm16050259 Přejít k původnímu zdroji...
    23. Hung, N. T. (2020a). Time-Frequency nexus between bitcoin and developed stock markets in the Asia-Pacific. The Singapore Economic Review, 69(1), 399-424. https://doi.org/10.1142/S0217590820500691 Přejít k původnímu zdroji...
    24. Hung, N. T. (2020b). Does volatility transmission between stock market returns of Central and Eastern European countries vary from normal to turbulent periods? Acta Oeconomica, 70(3), 449-468. https://doi.org/10.1556/032.2020.00022 Přejít k původnímu zdroji...
    25. Han, H., Linton, O., Oka, T., et al. (2016). The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. Journal of Econometrics, 193(1), 251-270. https://doi.org/10.1016/j.jeconom.2016.03.001 Přejít k původnímu zdroji...
    26. Hung, N. T., Vo, X. V. (2023). Asymmetric impact of the COVID-19 pandemic on foreign exchange markets: evidence from an extreme quantile approach. Economics and Business Letters, 12(1), 20-32. https://doi.org/10.17811/ebl.12.1.2023.20-32 Přejít k původnímu zdroji...
    27. Joseph, N. L., Vo, T. T. A., Mobarek, A., et al. (2020). Volatility and asymmetric dependence in Central and East European stock markets. Review of quantitative finance and accounting, 55, 1241-1303. https://doi.org/10.1007/s11156-020-00874-0 Přejít k původnímu zdroji...
    28. Jeris, S. S., Chowdhury, A. N. U. R., Akter, M. T., et al. (2022). Cryptocurrency and stock market: bibliometric and content analysis. Heliyon, 8(9), e10514. https://doi.org/10.1016/j.heliyon.2022.e10514 Přejít k původnímu zdroji...
    29. Naeem, M. A., Pham, L., Senthilkumar, A., et al. (2022). Oil shocks and BRIC markets: Evidence from extreme quantile approach. Energy Economics, 108, 105932. https://doi.org/10.1016/j.eneco.2022.105932 Přejít k původnímu zdroji...
    30. Kang, S. H., Uddin, G. S., Troster, V., et al. (2019). Directional spillover effects between ASEAN and world stock markets. Journal of Multinational Financial Management, 52, 100592. https://doi.org/10.1016/j.mulfin.2019.100592 Přejít k původnímu zdroji...
    31. Karim, S., Lucey, B. M., Naeem, M. A., et al. (2022). Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies. Finance Research Letters, 47, 102696. https://doi.org/10.1016/j.frl.2022.102696 Přejít k původnímu zdroji...
    32. Piñeiro-Chousa, J., López-Cabarcos, M. Á., Sevic, A., et al. (2022). A preliminary assessment of the performance of DeFi cryptocurrencies in relation to other financial assets, volatility, and user-generated content. Technological Forecasting and Social Change, 181, 121740. https://doi.org/10.1016/j.techfore.2022.121740 Přejít k původnímu zdroji...
    33. Razzaq, A., Sharif, A., An, H., et al. (2022). Testing the directional predictability between carbon trading and sectoral stocks in China: New insights using cross-quantilogram and rolling window causality approaches. Technological Forecasting and Social Change, 182, 121846. https://doi.org/10.1016/j.techfore.2022.121846 Přejít k původnímu zdroji...
    34. Sinha, A., Sharif, A., Adhikari, A., et al. (2022). Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence. Annals of Operations Research, 313(1), 257-287. https://doi.org/10.1007/s10479-021-04511-4 Přejít k původnímu zdroji...
    35. Şoiman, F., Dumas, J. G., Jimenez-Garces, S. (2023). What drives DeFi market returns? Journal of International Financial Markets, Institutions and Money, 101786. https://doi.org/10.1016/j.intfin.2023.101786 Přejít k původnímu zdroji...
    36. Tiwari, A. K., Raheem, I. D., Kang, S. H. (2019). Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model. Physica A: Statistical Mechanics and its Applications, 535(C), 122295. https://doi.org/10.1016/j.physa.2019.122295 Přejít k původnímu zdroji...
    37. Umar, M., Hung, N. T., Chen, S., et al. (2020). Are stock markets and cryptocurrencies connected? The Singapore Economic Review. https://doi.org/10.1142/S0217590820470050 Přejít k původnímu zdroji...
    38. Wang, H., Wang, X., Yin, S., et al. (2022). The asymmetric contagion effect between stock market and cryptocurrency market. Finance Research Letters, 46(A), 102345. https://doi.org/10.1016/j.frl.2021.102345 Přejít k původnímu zdroji...
    39. Wang, Y., Horky, F., Baals, L. J., et al. (2022). Bubbles all the way down? Detecting and date-stamping bubble behaviours in NFT and DeFi markets. Journal of Chinese Economic and Business Studies, 20(4), 415-436. https://doi.org/10.1080/14765284.2022.2138161 Přejít k původnímu zdroji...
    40. Yousaf, I., Nekhili, R., Gubareva, M. (2022). Linkages between DeFi assets and conventional currencies: Evidence from the COVID-19 pandemic. International Review of Financial Analysis, 81, 102082. https://doi.org/10.1016/j.irfa.2022.102082 Přejít k původnímu zdroji...
    41. Yousaf, I., Yarovaya, L. (2022). Static and dynamic connectedness between NFTs, Defi and other assets: Portfolio implication. Global Finance Journal, 53(C), 100719. https://doi.org/10.1016/j.gfj.2022.100719 Přejít k původnímu zdroji...
    42. Živkov, D., Đurašković, J., Ljubenović, S. (2023). Multiscale Interdependence Between Consumer and Producer Prices in Emerging Eastern European Countries. Politická ekonomie, 71(3), 319-341. https://doi.org/10.18267/j.polek.1390 Přejít k původnímu zdroji...

    Tento článek je publikován v režimu tzv. otevřeného přístupu k vědeckým informacím (Open Access), který je distribuován pod licencí Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), která umožňuje nekomerční distribuci, reprodukci a změny, pokud je původní dílo řádně ocitováno. Není povolena distribuce, reprodukce nebo změna, která není v souladu s podmínkami této licence.


    Zpět na obsah