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Spillover dynamics of digital assets during economic and political crises

Author

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  • Alnafisah, Hind
  • Almansour, Bashar Yaser
  • Elabed, Wajih
  • Jeribi, Ahmed

Abstract

Our study investigates the interconnectedness and spillover effects among cryptocurrencies, Non-Fungible Tokens (NFTs), and Decentralized Finance (DeFi) assets during crises, both endogenous like the Terra Luna and FTX crashes, and exogenous like the Covid-19 pandemic and the Russia-Ukraine Military conflict. Utilizing a Quantile Vector Autoregression (QVAR) methodology, we analyze the relationships among these variables, emphasizing the dynamics between cryptocurrencies, NFTs, and DeFi assets. Our analysis explores the presence of spillover effects leading up to and during these crises. Notably, during the COVID-19 pandemic, Binance Coin (BNB), Ethereum, and Bitcoin acted as net transmitters, whereas DeFi and NFT-related cryptocurrencies served as vulnerable net receivers. Conversely, in the Russia-Ukraine conflict, LINK, FTX, and Theta transitioned from transmitters to net receivers. In the Terra Luna crash, LINK remained a primary net receiver. During the FTX crash, FTX, Binance Coin (BNB), Maker (MKR), LINK, and Synthetix (SNX) consistently operated as major net receivers. These findings offer valuable insights for stakeholders, including investors, portfolio managers, and policymakers, shedding light on the evolving dynamics and interconnectedness of digital assets in crisis settings. Understanding these dynamics is crucial for informed risk management and the development of effective investment strategies.

Suggested Citation

  • Alnafisah, Hind & Almansour, Bashar Yaser & Elabed, Wajih & Jeribi, Ahmed, 2025. "Spillover dynamics of digital assets during economic and political crises," Research in International Business and Finance, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000261
    DOI: 10.1016/j.ribaf.2025.102770
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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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