Price co-movements in decentralized financial markets

被引：10

作者：

Park, Seongwan ^{[1
]}

Lee, Seungju ^{[1
]}

Lee, Yunyoung ^{[1
]}

Ko, Hyungjin ^{[1
]}

Son, Bumho ^{[1
]}

Lee, Jaewook ^{[1
]}

Jang, Huisu ^{[2
]}

机构：

[1] Seoul Natl Univ, Dept Ind Engn, Seoul, South Korea

[2] Soongsil Univ, Sch Finance, Seoul, South Korea

来源：

APPLIED ECONOMICS LETTERS | 2023年 / 30卷 / 21期

关键词：

Defi; Co-Movement; cryptocurrencies; correlation;

D O I：

10.1080/13504851.2022.2120952

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In decentralized finance (Defi), market participants are allowed to have the right to manage their own funds as opposed to centralized finance (Cefi) with a central custodian, centralized exchanges (CEX). Most Defi projects provide their own service and simultaneously issue a unique token that can be traded in decentralized exchanges (DEX). However, the values of these tokens have rarely been studied. We confirm that the prices of tokens in the Defi market have a persistent tendency to move together. We also demonstrate that the correlation gradually increased from the Defi market's inception and the price co-movement increased in a bear market, and conversely, decreased in a bull market. Specifically, we find a notable difference in the level of price co-movement between CEX cryptocurrencies and DEX tokens.

引用

页码：3075 / 3082

页数：8

共 50 条

[31] Tail dependence measure for examining financial extreme co-movements
Asimit, Alexandru V.
Gerrard, Russell
Hou, Yanxi
Peng, Liang
JOURNAL OF ECONOMETRICS, 2016, 194 (02) : 330 - 348
[32] On the Casuistic of Co-Movements
Lange, J.
MONATSSCHRIFT FUR PSYCHIATRIE UND NEUROLOGIE, 1930, 75 (03): : 189 - 192
[33] Are international economic and financial co-movements characterized by asymmetric co-integration?
Qadan, Mahmoud
Yagil, Joseph
REVIEW OF ACCOUNTING AND FINANCE, 2015, 14 (04) : 398 - 412
[34] Explaining co-movements between stock markets: The case of US and Germany
Bonfiglioli, A
Favero, CA
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2005, 24 (08) : 1299 - 1316
[35] Co-movements and contagion between international stock index futures markets
Albulescu, Claudiu Tiberiu
Goyeau, Daniel
Tiwari, Aviral Kumar
EMPIRICAL ECONOMICS, 2017, 52 (04) : 1529 - 1568
[36] Co-movements within European Electricity Markets: telling our history
Dias, Marta Ferreira
da Silva, Ricardo Reis
Madaleno, Mara
2020 17TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET, EEM, 2020,
[37] Asymmetric downside and upside co-movements between stock and REIT markets
Chang, Kuang-Liang
APPLIED ECONOMICS LETTERS, 2018, 25 (02) : 78 - 82
[38] An examination of co-movements of India's stock and government bond markets
Kolluri, Bharat
Wahab, Susan
Wahab, Mahmoud
JOURNAL OF ASIAN ECONOMICS, 2015, 41 : 39 - 56
[39] Using nonparametric copulas to measure crude oil price co-movements
Ho, Anson T. Y.
Huynh, Kim P.
Jacho-Chavez, David T.
ENERGY ECONOMICS, 2019, 82 : 211 - 223
[40] Assessing the impact of COVID-19 on price Co-movements in China
Xu, Yingying
Lien, Donald
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2022, 79

← 1 2 3 4 5 →