IDEAS home Printed from https://ideas.repec.org/a/wly/ijfiec/v30y2025i2p1302-1318.html
   My bibliography  Save this article

What drives the return and volatility spillover between DeFis and cryptocurrencies?

Author

Listed:
  • Ata Assaf
  • Ender Demir
  • Oguz Ersan

Abstract

In this paper, we study the return and volatility connectedness between cryptocurrencies and DeFi Tokens, considering the impact of different uncertainty indices on their connectivity. Initially, we estimate a TVP‐VAR model to obtain the total connectedness between the two markets. We find that returns on the cryptocurrencies transmit significantly larger shocks and, thus, are responsible for most variations in the majority of DeFis' returns. Then, to analyse the impact of uncertainty on total return and volatility connectedness, we use four factors, namely, Economic Policy Uncertainty (EPU), The Chicago Board Options Exchange Volatility Index (VIX), Infectious Disease Equity Market Volatility Tracker (ID‐EMV) and Geopolitical Risks (GPR). We find that except for geopolitical risks, all three measures have a positive impact on return and volatility connectedness, while GPR exerts a negative impact. Finally, we provide implications for researchers, market participants and policymakers.

Suggested Citation

  • Ata Assaf & Ender Demir & Oguz Ersan, 2025. "What drives the return and volatility spillover between DeFis and cryptocurrencies?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(2), pages 1302-1318, April.
    • Handle: RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1302-1318
    DOI: 10.1002/ijfe.2969
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/ijfe.2969
    Download Restriction: no
    File URL: https://libkey.io/10.1002/ijfe.2969?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1302-1318. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/1076-9307/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.