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

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

• Digital Financial Assets
• Cryptocurrency
• Interconnectedness
• Risk
• Generalized R²

Dijital Varlıklar Arasındaki Bağlantılılık ve Risk Yapısı: Genelleştirilmiş R² Yaklaşımına Dayalı Ampirik Bulgular (2020–2025)

Öz

Bu çalışma, dijital finansal varlık piyasasındaki varlıklar arasındaki zamanla değişen etkileşimleri analiz etmektedir. Çalışma kapsamında, Ethereum, Ripple, Binance Coin, Cardano, Stellar, IOTA, Stacks ve Chainlink için 2020-2025 dönemine ait 1.820 günlük gözlem, Balli ve diğerleri (2023) tarafından önerilen Genelleştirilmiş R² yöntemi kullanılarak incelenmiştir. Bu yaklaşım, varlıklar arasındaki eşzamanlı ve gecikmeli karşılıklı bağlantıları ortaya çıkararak, dinamik ilişkilerin zaman içinde nasıl geliştiğini anlamayı mümkün kılmaktadır. Sonuçlar, piyasa karşılıklı bağlantısının zaman içinde istikrarlı olmadığını ve şokların iletilmesinin özellikle belirsizlik dönemlerinde yoğunlaşma eğiliminde olduğunu göstermektedir. Bulgular, Ethereum'un analiz dönemi boyunca merkezi bir rol sürdürdüğünü, Cardano, STX, LINK ve IOTA'nın ise şoklara daha fazla maruz kaldığını göstermektedir. Bu sonuçlar, piyasa istikrarını teşvik etmek için yalnızca bireysel varlık risklerini değil, aynı zamanda bulaşma risklerini de ele alan politika çerçevelerinin gerekliliğini vurgulamaktadır. Yatırımcıların bakış açısından, portföy bileşimlerinde hem eşzamanlı hem de gecikmeli etkilerin dikkate alınması önerilmektedir.

Anahtar Kelimeler

• Dijital Finansal Varlıklar
• Kripto Varlıklar
• Bağlantılılık
• Risk
• Genelleştirilmiş R2

Kaynakça

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