Time-frequency cross-quantile liquidity connectedness of cryptocurrencies, DeFi tokens and NFTs

被引：0
作者：
Deng, Xi [1 ]
Zhu, Huiming [1 ,2 ]
Li, Shuang [1 ]
Huang, Zishan [1 ]
Huang, Xi [1 ]
机构：
[1] Hunan Univ, Coll Business Adm, Changsha, Peoples R China
[2] Hunan Univ, Coll Business Adm, Changsha 410082, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2025年 / 32卷 / 04期
关键词：
Cryptocurrency; liquidity; spillovers; cross-quantile network; downside and upside;
D O I：
10.1080/13504851.2023.2275651
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study measures time-frequency liquidity and investigates the quantile connectedness of cryptocurrencies, decentralized finance, and non-fungible tokens (NFTs). The empirical results reveal that high-liquidity cryptocurrencies and yield-farming tokens are the main net spillover transmitters of low-liquidity cryptocurrencies' downside networks in the short term. In addition, the connectedness between high-liquidity cryptocurrencies and yield-farming tokens significantly increases in the long-term upside network. Finally, NFTs exhibit substantial risk-bearing abilities.
引用
收藏
页码：498 / 504
页数：7
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