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Wavelet quantile correlation between DeFi assets and banking stocks

Author

Listed:
  • Abakah, Emmanuel Joel Aikins
  • Goodell, John W.
  • Sulong, Zunaidah
  • Abdullah, Mohammad

Abstract

We examine time frequency quantile correlation and portfolio benefits between decentralized finance (DeFi) assets and G7 banking stocks. We employ wavelet quantile correlation to examine the correlation between DeFi and bank stocks. Notably, results reveal diversification benefits in the short to medium term and highlight DeFi assets' hedging and safe-haven properties, particularly against Japanese banking stocks. Further, bivariate portfolio analysis provides optimal allocation strategies. Our research offers new guidance for investors, portfolio managers, and regulators regarding the intersection of DeFi and traditional banking stocks.

Suggested Citation

  • Abakah, Emmanuel Joel Aikins & Goodell, John W. & Sulong, Zunaidah & Abdullah, Mohammad, 2024. "Wavelet quantile correlation between DeFi assets and banking stocks," Finance Research Letters, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013011
    DOI: 10.1016/j.frl.2024.106272
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