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Spillover effects between DeFi assets and ASEAN-6 stock markets.

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Název: Spillover effects between DeFi assets and ASEAN-6 stock markets.
Autoři: Hung, Ngo Thai1 (AUTHOR) hung.nt@ufm.edu.vn, Dan, Nguyen Tran The1 (AUTHOR) nguyendan213.nd@gmail.com, Tuoi, Tran Bui Hong1 (AUTHOR) hongtuoitranbui05@gmail.com, Anh, Pham Thuy1 (AUTHOR) anhthuypham05@gmail.com, Ngan, Nguyen Thuy Thanh1 (AUTHOR) thanhngandn2005@gmail.com, Tam, Luyen Nhat1 (AUTHOR) tam20057@gmail.com
Zdroj: Journal of Economics & Finance. 11/21/2025, Vol. 50 Issue 1, p1-30. 30p.
Témata: *CRYPTOCURRENCIES, *FINANCIAL markets, *INVESTMENT policy, *PORTFOLIO diversification, QUANTILE regression
Geografický termín: INDONESIA, MALAYSIA, PHILIPPINES
Abstrakt: This study aims to examine the return spillover effects between DeFi assets (Maker, Celo, and Compound) and the ASEAN-6 stock markets (Vietnam, Thailand, Malaysia, the Philippines, Singapore, and Indonesia) using daily data from June 17, 2020, to October 8, 2024. By doing so, the research employs both the quantile spillover index method and the time-varying quantile regression (TVQR) model. The empirical results indicate that DeFi assets exhibit weak positive connectedness with ASEAN-6 stock markets under normal conditions, suggesting potential diversification benefits. However, this connectedness strengthens significantly at extreme quantiles, reducing their effectiveness as a diversification tool during periods of market stress. The dynamic total connectedness analysis reveals that market interdependence fluctuates over time and across different conditional quantiles, intensifying during crises such as COVID-19 and the Russia-Ukraine conflict. The TVQR model results further demonstrate that the impact of DeFi assets on ASEAN-6 stock markets varies over time and across market conditions, exhibiting both dynamic and asymmetric characteristics. During crisis periods, DeFi assets had a strong positive impact on ASEAN-6 stock returns at extreme quantiles but exerted no significant influence under normal market conditions or during other times. Overall, this research provides new insights into connectedness structures, which could help investors make more informed investment decisions and refine their trading strategies. [ABSTRACT FROM AUTHOR]
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Databáze: Business Source Index
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Abstrakt:This study aims to examine the return spillover effects between DeFi assets (Maker, Celo, and Compound) and the ASEAN-6 stock markets (Vietnam, Thailand, Malaysia, the Philippines, Singapore, and Indonesia) using daily data from June 17, 2020, to October 8, 2024. By doing so, the research employs both the quantile spillover index method and the time-varying quantile regression (TVQR) model. The empirical results indicate that DeFi assets exhibit weak positive connectedness with ASEAN-6 stock markets under normal conditions, suggesting potential diversification benefits. However, this connectedness strengthens significantly at extreme quantiles, reducing their effectiveness as a diversification tool during periods of market stress. The dynamic total connectedness analysis reveals that market interdependence fluctuates over time and across different conditional quantiles, intensifying during crises such as COVID-19 and the Russia-Ukraine conflict. The TVQR model results further demonstrate that the impact of DeFi assets on ASEAN-6 stock markets varies over time and across market conditions, exhibiting both dynamic and asymmetric characteristics. During crisis periods, DeFi assets had a strong positive impact on ASEAN-6 stock returns at extreme quantiles but exerted no significant influence under normal market conditions or during other times. Overall, this research provides new insights into connectedness structures, which could help investors make more informed investment decisions and refine their trading strategies. [ABSTRACT FROM AUTHOR]
ISSN:10550925
DOI:10.1007/s12197-025-09743-9