Spillovers between cryptocurrency, DeFi, carbon, and energy markets: A frequency quantile-on-quantile perspective

Basit Öğe Kaydı
dc.authorid0000-0002-9216-5210
dc.contributor.authorGök, Remzi
dc.date.accessioned2025-02-22T14:10:54Z
dc.date.available2025-02-22T14:10:54Z
dc.date.issued2025
dc.departmentDicle Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.description.abstractWe applied a novel approach, the quantile-on-quantile frequency connectedness (QQFC), to measure the return spillover effects from the cryptocurrency and decentralized finance indices on the carbon and clean/dirty energy markets. Given the limitations of the traditional quantile connectedness approach, which only considers the transmission mechanism in similar quantile compositions, we combine the quantile-in-quantile connectedness and frequency connectedness methods, allowing us to evaluate the spillover shocks between two markets under different market conditions while also separating the links over multiple time horizons. For the entire period, we find that the spillover effects at directly related quantiles is more prominent than the inversely related quantile estimations and establish an asymmetry pattern in return connectedness, with spillover shocks bearing greater influence at the extreme lower quantiles. Furthermore, the frequency connectedness results show that the spillover effects diminish as the timescale increases. Clean energy markets appear to have stronger interconnectivity with decentralized finance and crypto markets than dirty energy and carbon markets, where the new energy global innovation is the strongest, followed by the clean energy. Although crypto markets have stronger interdependence with other markets than decentralized finance markets, the difference is negligible. The net QQFC results elucidate that, during the entire period and short run, other markets transmit shocks to digital markets when they are in bearish and bullish phases and absorb shocks when they are normal, but in the long run, become predominantly susceptible to shocks from cryptocurrency and DeFi markets. Carbon market, followed by coal, emerges as the most influential markets on the cryptocurrency and DeFi markets, while oil and gas are the most vulnerable markets to the cryptocurrency and DeFi markets, respectively. We witness changes in the roles of the net connectedness over timeframes during the pandemic and stronger spillovers for the ongoing war period. © 2025 Board of Trustees of the University of Illinoisen_US
dc.identifier.citationGök, R. (2025). Spillovers between cryptocurrency, DeFi, carbon, and energy markets: A frequency quantile-on-quantile perspective. Quarterly Review of Economics and Finance, 100, 1-21.
dc.identifier.doi10.1016/j.qref.2024.101954
dc.identifier.issn1062-9769
dc.identifier.scopus2-s2.0-85214347043en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.urihttps://doi.org/10.1016/j.qref.2024.101954
dc.identifier.urihttps://hdl.handle.net/11468/29874
dc.identifier.volume100en_US
dc.indekslendigikaynakScopus
dc.institutionauthorGök, Remzi
dc.institutionauthorid0000-0002-9216-5210
dc.language.isoenen_US
dc.publisherElsevier B.V.en_US
dc.relation.ispartofQuarterly Review of Economics and Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.snmzKA_Scopus_20250222
dc.subjectCarbonen_US
dc.subjectClean energyen_US
dc.subjectClimate changeen_US
dc.subjectCryptocurrencyen_US
dc.subjectDeFien_US
dc.subjectFrequency quantile-on-quantile connectednessen_US
dc.subjectSpillover shocksen_US
dc.titleSpillovers between cryptocurrency, DeFi, carbon, and energy markets: A frequency quantile-on-quantile perspectiveen_US
dc.typeArticleen_US

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