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Integration between asset management tokens, asset management stock, and other financial markets: Evidence from TVP-VAR modeling

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  • Yousaf, Imran
  • Riaz, Yasir
  • Goodell, John W.

Abstract

Using TVP-VAR modeling, we investigate return and volatility connectedness between asset management tokens and the largest asset management stock as well as other traditional assets. We find asset management tokens offer diversification opportunity in a portfolio comprising traditional assets. Net shock receivers are asset management tokens, while net shock transmitters are asset management stock and other assets. A dynamic analysis of system-wide spillover reveals periodic waves with varying degrees of connectedness. Additionally, we calculate the optimal weights and hedging ratios for asset management token pairs and other financial markets. Results are particularly helpful for policymakers, hedge funds, and portfolio managers.

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  • Yousaf, Imran & Riaz, Yasir & Goodell, John W., 2023. "Integration between asset management tokens, asset management stock, and other financial markets: Evidence from TVP-VAR modeling," Finance Research Letters, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006487
    DOI: 10.1016/j.frl.2023.104276
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    References listed on IDEAS

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    Cited by:

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    2. Lee, Geul & Ryu, Doojin, 2025. "Are base layer blockchains establishing a new sector? Evidence from a connectedness approach," Research in International Business and Finance, Elsevier, vol. 73(PB).
    3. Karim, Sitara & Shafiullah, Muhammad & Naeem, Muhammad Abubakr, 2024. "When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
    4. Younis, Ijaz & Gupta, Himani & Du, Anna Min & Shah, Waheed Ullah & Hanif, Waqas, 2024. "Spillover dynamics in DeFi, G7 banks, and equity markets during global crises: A TVP-VAR analysis," Research in International Business and Finance, Elsevier, vol. 70(PB).
    5. Esparcia, Carlos & Díaz, Antonio, 2024. "The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study," Research in International Business and Finance, Elsevier, vol. 71(C).
    6. Gunay, Samet & Altınkeski, Buket Kırcı & Ismail Çevik, Emrah & Goodell, John W., 2023. "Quantifying systemic risk in the cryptocurrency market: A sectoral analysis," Finance Research Letters, Elsevier, vol. 58(PC).
    7. Ali, Shoaib & Yousfi, Mohamed & Chughtai, Sumayya & Min Du, Anna, 2024. "Return and volatility connectedness between agricultural tokens and us equity sectors," Research in International Business and Finance, Elsevier, vol. 72(PB).
    8. Yousaf, Imran & Ijaz, Muhammad Shahzad & Umar, Muhammad & Li, Yanshuang, 2024. "Exploring volatility interconnections between AI tokens, AI stocks, and fossil fuel markets: evidence from time and frequency-based connectedness analysis," Energy Economics, Elsevier, vol. 133(C).
    9. Ali, Shoaib & Zhang, Ting & Yousaf, Imran, 2025. "Interlinkage between lending and borrowing tokens and US equity sector: Implications for social finance," Research in International Business and Finance, Elsevier, vol. 73(PA).
    10. Ali, Shoaib & Umar, Muhammad & Naveed, Muhammad & Shan, Shan, 2024. "Assessing the impact of renewable energy tokens on BRICS stock markets: A new diversification approach," Energy Economics, Elsevier, vol. 134(C).

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    More about this item

    Keywords

    Asset management tokens; Connectedness; Cryptocurrency; Diversification;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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