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Thesis (Master's)

Reykjavík University > Samfélagssvið / School of Social Sciences > MSc Viðskiptadeild (og Klínísk sálfræði -2019) / Department of Business Administration >

Please use this identifier to cite or link to this item: http://hdl.handle.net/1946/42900

Title: 
  • Connectedness of DeFi tokens, Bitcoin and Ethereum
Degree: 
  • Master's
Abstract: 
  • In this paper, the transmission mechanism of 6 DeFi tokens, Bitcoin and Ethereum is examined using the TVP-VAR connectedness technique. To do so, we focus on six DeFi tokens in two DeFi categories, Bitcoin and Ethereum. The study period runs from October 3, 2020, to June 21, 2022, with dynamic variance ranging from 55% to 80% in total dynamic connectivity across the sample. High (low) price spikes are correlated with weak (strong) connectivity. I show how these results can be explained by the increased market concern associated with periods of extremely volatile prices. In addition, Ethereum is the main net receiving cryptocurrency and the fact that Bitcoin still has an impact on the cryptocurrency market as a net transmitting cryptocurrency. I also note that there is no significant difference between the different DeFi categories in terms of net receiving or net transmitting properties. Compound is the biggest transmitter of the other DeFi tokens to Bitcoin and Pancake Swap transmits most to itself of the DeFi tokens.
    Keywords: Cryptocurrencies; Connectedness; DeFi; TVP-VAR.

Accepted: 
  • Oct 17, 2022
URI: 
  • http://hdl.handle.net/1946/42900


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