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Quantiles dependence and dynamic connectedness between distributed ledger technology and sectoral stocks: enhancing the supply chain and investment decisions with digital platforms

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Abstract

Distributed Ledger Technology (DLT) is highly applicable in various fields, especially the supply chain in many sectors. Against limited empirical evidence, this paper analyzes the relations between the Kensho Distributed Ledger Technology Index and stock indices of 12 sectors, including communication services, consumer discretionary, consumer staples, energy, health care, financials, industrials, information technology, materials, utilities, and real estate, and ESG by employing the quantile coherency and dynamic connectedness techniques. Our results reveal that the quantile coherency between the DLT stock index and the sectoral stock indices in almost all cases is significant and positive. The positive co-movement tends to be stronger in the longer terms and as we move from the lower to the higher quantiles, implying that they are more strongly connected in the long term and during the bearish market condition. Moreover, the dynamic connectedness indicates that the DLT stocks and the sectoral stocks are highly connected, with the former being a net transmitter of spillover shocks. The spillovers are also time-varying, and the results significantly corroborate those of the quantiles coherency methods. Among other relevant implications, DLT can be an important factor in the development and enhancement of these sectors.

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Notes

  1. Contribution to others.

  2. NET directional connectedness.

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Authors and Affiliations

  1. Faculty of Economics, Kharazmi University, No. 43, Mofatteh Ave., Tehran, Postal Code: 15719-14911, Iran

    Mahdi Ghaemi Asl

  2. Department of Economics, Federal University of Agriculture, Abeokuta, Nigeria

    Oluwasegun B. Adekoya

  3. Faculty of Economics, Imam Sadiq University, Tehran, Iran

    Muhammad Mahdi Rashidi

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  1. Mahdi Ghaemi Asl
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Ghaemi Asl, M., Adekoya, O.B. & Rashidi, M.M. Quantiles dependence and dynamic connectedness between distributed ledger technology and sectoral stocks: enhancing the supply chain and investment decisions with digital platforms. Ann Oper Res 327, 435–464 (2023). https://doi.org/10.1007/s10479-022-04882-2

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