Interconnectedness and Risk Structure Among Digital Assets: Empirical Findings Based on the Generalized R² Approach (2020–2025)

Authors : Burhan Erdoğan

Pages : 160-171

Doi:10.54821/uiecd.1783148

View : 44 | Download : 80

Publication Date : 2025-09-30

Article Type : Research Paper

Abstract :This study analyzes the time-varying interactions among assets in the digital financial asset market. Within the scope of the study, 1,820 daily observations from the 2020–2025 period for Ethereum, Ripple, Binance Coin, Cardano, Stellar, IOTA, Stacks, and Chainlink are examined using the Generalized R² method proposed by Balli et al. (2023). This approach reveals both contemporaneous and lagged interconnectedness between assets, thereby enabling an understanding of how dynamic relationships evolve over time. The results indicate that market interconnectedness is not stable over time and that the transmission of shocks tends to intensify particularly during periods of uncertainty. The findings show that Ethereum maintained a central role throughout the analysis period, while Cardano, STX, LINK, and IOTA were more exposed to shocks. These results underscore the necessity of policy frameworks that address not only individual asset risks but also contagion risks to promote market stability. From an investor’s perspective, it is recommended that portfolio compositions consider both contemporaneous and lagged effects.
Keywords : Dijital Finansal Varlıklar, Kripto Varlıklar, Bağlantılılık, Risk, Genelleştirilmiş R2

ORIGINAL ARTICLE URL