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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.

Suggested Citation

  • 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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    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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