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<p>Due to the high return in digital assets, the global investors’ interest is burgeoning towards the transmission of information to other assets. This paper unravels the dynamic connectedness among exchange traded funds (ETFs), digital assets, and credit default swaps (CDS). The ETFs are represented by SPDR.500, Invesco QQQ while digital assets are proxied by Bitcoin, Ethereum. We measure CDS considering Turkey, Italy, and the UK CDS. The daily observation of examined assets extending from December 31, 2019, to September 1, 2023 is considered for the empirical estimation. The result reveals that bitcoin is the highest receiver and transmitter of the shock to the network connection. Additionally, the credit default swap (Italy.CDS) is a&#xa0;resilient diversifier due to its least transmission of shock to examined assets. The dynamic connectedness does not remain the same in the short, medium, and long run. This study furnishes insight into investors, portfolio managers and policy analysts.</p>

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Are ETFs, digital assets and credit default swap connected? A fresh insight into dynamic modelling

  • 期刊论文

  • 发表日期：

    2025年5月30日

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  • Miklesh Prasad Yadav,
  • Rupinder Katoch,
  • Umra Rashid

摘要

Due to the high return in digital assets, the global investors’ interest is burgeoning towards the transmission of information to other assets. This paper unravels the dynamic connectedness among exchange traded funds (ETFs), digital assets, and credit default swaps (CDS). The ETFs are represented by SPDR.500, Invesco QQQ while digital assets are proxied by Bitcoin, Ethereum. We measure CDS considering Turkey, Italy, and the UK CDS. The daily observation of examined assets extending from December 31, 2019, to September 1, 2023 is considered for the empirical estimation. The result reveals that bitcoin is the highest receiver and transmitter of the shock to the network connection. Additionally, the credit default swap (Italy.CDS) is a resilient diversifier due to its least transmission of shock to examined assets. The dynamic connectedness does not remain the same in the short, medium, and long run. This study furnishes insight into investors, portfolio managers and policy analysts.