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Risks spillover between traditional and digital assets: an integrated network approach

Vincenzo Pacelli, Matteo Foglia
October 2023 - n. 10
Keywords: Asset digitali, token, mercato azionario, risk spillover, multilayer network
Jel codes: G11, G32

Blockchain technologies are revolutionizing the financial system. Digital Asset Investment (Dai) has emerged as a viable strategy to achieve portfolio diversification for investors. In this research, we study the interconnectedness of volatility (spillover effect) between tokenized stocks and traditional ones. Our goal is to determine how token market risks relate to traditional equity investments. To this end, we employ a multilayer network approach, which allows us to capture both within-market and cross-market volatility effects. Our findings substantiate the presence of volatility spillovers between the two aforementioned asset classes.

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