Speed of adjustment in digital assets in a decentralised financial world

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

Preview

Text 2510845_a3299_Dao.pdf - Published version Download (1MB) | Preview

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.E.-T., Dao, T., Do, H. and Mishra, T.
Publisher:	Wiley
Date:	7 November 2025
ISSN:	0270-7314
Identifiers:	Number Type 10.1002/fut.70055 DOI 2510845 Other
Rights:	© 2025 The Author(s). The Journal of Futures Markets published by Wiley Periodicals LLC. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.
Divisions:	Schools > Nottingham Business School
Record created by:	Laura Borcherds
Date Added:	08 Oct 2025 11:16
Last Modified:	11 Nov 2025 17:39
URI:	https://irep.ntu.ac.uk/id/eprint/54538

Actions (login required)

Edit View

Statistics

Views

Downloads