What drives DeFi market returns?

被引：2
|
作者：
Soiman, Florentina [1 ,2 ]
Dumas, Jean-Guillaume [1 ]
Jimenez-Garces, Sonia [2 ]
机构：
[1] Univ Grenoble Alpes, UMR CNRS 5224, LJK, F-38000 Grenoble, France
[2] Univ Grenoble Alpes, Grenoble INP, CERAG, F-38000 Grenoble, France
来源：
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2023年 / 85卷
关键词：
DeFi token Index Asset pricing Financial return; DECENTRALIZED FINANCE; CROSS-SECTION; CRYPTOCURRENCY; BITCOIN; VOLATILITY; COINTEGRATION; CONNECTEDNESS; RISK;
D O I：
10.1016/j.intfin.2023.101786
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Decentralized Finance (DeFi) is a nascent set of financial services, using tokens, smart contracts, and blockchain technology as financial instruments. We investigate 3 possible drivers of DeFi returns: exposure to the cryptocurrency market, the network effect, and the valuation ratio. As DeFi tokens are distinct from classical cryptocurrencies, we designed a new dedicated market index, denoted iDeFiX. We compare our index with the one created by Nasdaq and obtain similar results. First, we show that DeFi tokens returns are driven by their own network variables and the cryptocurrency market. We construct a valuation ratio for the DeFi market by dividing the Total Value Locked (TVL) by the Market Capitalization (MC). Our findings do not support the assumption regarding TVL/MC exposure. Overall, our empirical study shows that the impact of the cryptocurrency market on DeFi returns is stronger than any other considered driver and provides superior explanatory power.
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收藏
页数：23
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