Speed of adjustment in digital assets in a decentralised financial world

Cheah, J ORCID: https://orcid.org/0000-0003-2953-3815, Dao, T ORCID: https://orcid.org/0000-0002-1926-495X, Do, H, Mishra, T and Tan, L ORCID: https://orcid.org/0000-0001-6986-1923, 2025. Speed of adjustment in digital assets in a decentralised financial world. Journal of Futures Markets. ISSN 0270-7314 (Forthcoming)

Text 2510845_Dao.pdf - Post-print Restricted to Repository staff only Download (529kB)

Abstract

This paper investigates the stability and co-movement of cryptocurrency assets in Decentralised Finance (DeFi), with a focus on the Speed of Adjustment (SA), the rate at which shocks dissipate, and prices revert to long-run equilibrium. SA provides a critical measure of market efficiency and portfolio allocation in a highly volatile DeFi environment. We extend conventional cointegration analysis by applying a Fractionally Cointegrated Vector Autoregressive framework, which captures slow error corrections. Rolling estimations generate a time-varying series of SA, allowing examination of its evolution and cross-asset spillovers. The results reveal multiple cointegrating relationships, heterogeneous adjustment speeds, and strong contagion effects among DeFi assets. For instance, RPL exhibits rapid yet volatile adjustment, while LDO, BAL, and SNX revert more slowly, reflecting distinct risk-return trade-offs. Spillover analysis highlights high systemic interconnectedness, underscoring challenges for diversification and contagion management. Overall, dynamic SA emerges as a valuable forward-looking indicator of stability in digital asset markets.

Item Type:	Journal article
Publication Title:	Journal of Futures Markets
Creators:	Cheah, J., Dao, T., Do, H., Mishra, T. and Tan, L.
Publisher:	Wiley
Date:	8 October 2025
ISSN:	0270-7314
Identifiers:	Number Type 2510845 Other
Divisions:	Schools > Nottingham Business School
Record created by:	Laura Borcherds
Date Added:	08 Oct 2025 11:16
Last Modified:	08 Oct 2025 11:16
URI:	https://irep.ntu.ac.uk/id/eprint/54538

Actions (login required)

Edit View

Statistics

Views

Downloads