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Interconnectivity among cryptocurrencies, NFTs, and DeFi: Evidence from the Russia-Ukraine conflict

Author

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  • Kumar, Sanjeev
  • Patel, Ritesh
  • Iqbal, Najaf
  • Gubareva, Mariya

Abstract

We examine the linkages between fifteen major cryptocurrencies, NFTs, and DeFi assets before and during the Russia-Ukraine military conflict, using the TVP-VAR framework. We observe a high level of spillovers in the pre-conflict period that persists during the military confrontation. However, the topology of network connectedness changes during the Russia-Ukraine conflict as several digital assets are seen to alter their status from net recipient to net transmitter and vice-versa. Additionally, we report that stronger transmitting and receiving spillovers vis-à-vis the full sample are observed during the Russia-Ukraine military conflict. Ethereum, Chainlink, Bancor, BAT, and Bitcoin (Decentraland, Maker, DigiByte, and XRP) are consistent transmitters (receivers) of return spillovers. Chainlink and BAT (Bitcoin and XRP) are consistent transmitters (receivers) of volatility innovations. We report that the cryptocurrencies, as an asset class, play an important role in the absorption of the volatility shock coming from NFTs and DeFi assets. The digital asset classes the least associated with one another are those in the pair DeFi-cryptocurrencies. The findings have valuable implications for investors, portfolio managers, and policymakers.

Suggested Citation

  • Kumar, Sanjeev & Patel, Ritesh & Iqbal, Najaf & Gubareva, Mariya, 2023. "Interconnectivity among cryptocurrencies, NFTs, and DeFi: Evidence from the Russia-Ukraine conflict," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
    • Handle: RePEc:eee:ecofin:v:68:y:2023:i:c:s1062940823001067
    DOI: 10.1016/j.najef.2023.101983
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    Citations

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    Cited by:

    1. Huang, Shoujun & Bossman, Ahmed & Gubareva, Mariya & Teplova, Tamara, 2024. "International transmission of shocks and African forex markets," Energy Economics, Elsevier, vol. 131(C).
    2. Liu, Jiatong & Zhu, You & Wang, Gang-Jin & Xie, Chi & Wang, Qilin, 2024. "Risk contagion of NFT: A time-frequency risk spillover perspective in the Carbon-NFT-Stock system," Finance Research Letters, Elsevier, vol. 59(C).
    3. Aharon, David Y. & Alon, Ilan & Vakhromov, Oleg, 2024. "Metaverse tokens or metaverse stocks – Who’s the boss?," Research in International Business and Finance, Elsevier, vol. 69(C).
    4. Mirzat Ullah, 2024. "Dynamic Connectedness between Crypto and Conventional Financial Assets: Novel Findings from Russian Financial Market," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 23(1), pages 110-135.
    5. Iqbal, Najaf & Umar, Zaghum & Ruman, Asif M. & Jiang, Shaohua, 2024. "The term structure of yield curve and connectedness among ESG investments," Research in International Business and Finance, Elsevier, vol. 67(PA).
    6. Mensi, Walid & Gubareva, Mariya & Kang, Sang Hoon, 2024. "Frequency connectedness between DeFi and cryptocurrency markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 12-27.
    7. Elie Bouri & Matteo Foglia & Sayar Karmakar & Rangan Gupta, 2024. "Return-Volatility Nexus in the Digital Asset Class: A Dynamic Multilayer Connectedness Analysis," Working Papers 202432, University of Pretoria, Department of Economics.
    8. Okorie, David Iheke & Bouri, Elie & Mazur, Mieszko, 2024. "NFTs versus conventional cryptocurrencies: A comparative analysis of market efficiency around COVID-19 and the Russia-Ukraine conflict," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 126-151.
    9. Ghosh, Bikramaditya & Pham, Linh & Gubareva, Mariya & Teplova, Tamara, 2023. "Energy transition metals and global sentiment: Evidence from extreme quantiles," Resources Policy, Elsevier, vol. 86(PA).
    10. Ali, Shoaib & Umar, Muhammad & Gubareva, Mariya & Vo, Xuan Vinh, 2024. "Extreme connectedness between NFTs and US equity market: A sectoral analysis," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 299-315.

    More about this item

    Keywords

    Cryptos; NFTs; DeFi; Russia-Ukraine military conflict;
    All these keywords.

    JEL classification:

    • H56 - Public Economics - - National Government Expenditures and Related Policies - - - National Security and War
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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