This study investigates the time-frequency spillovers across main DeFi (AVA, POWR, DOGE, MED, BAT, Link, Maker, and SNX) and four leading cryptocurrency markets (Bitcoin, Ethereum, Litecoin, and Ripple). The results show using the time-domain spillover index of Diebold and Yilmaz (2012) high connectedness across markets, underlying forecasting opportunities. Ethereum and Litecoin are the largest contributors and receivers of spillovers while MED is the lowest contributors of shocks in the system. Using the time-frequency spillover index by Baruník and Křehlík (2018), we show that the spillover at long term is higher than those at the short- and medium terms. BAT, LINK, and LTC are net contributors of spillovers at different time investment horizons while AVA, POWR, DOGE, and MED are net receivers irrespective of the time horizons. For the remaining market, they switch from net receiver to net contributor and vice versa. The major events (COVID-19, COVID-19 vaccination, and Ukraine-Russia tensions) intensify the dynamic of return spillovers at short-, medium-, and long-terms, implying contagion effects and a decline in the diversification benefits.

本研究调查了主要 DeFi（AVA、POWR、DOGE、MED、BAT、Link、Maker 和 SNX）和四个主要加密货币市场（比特币、以太坊、莱特币和瑞波币）的时频溢出。结果显示，使用 Diebold 和 Yilmaz（2012）的时域溢出指数，市场之间的高度连通性和潜在的预测机会。以太坊和莱特币是最大的溢出贡献者和接收者，而 MED 是系统中冲击的最小贡献者。使用Baruník和Křehlík（2018）的时频溢出指数，我们发现长期的溢出高于短期和中期的溢出。BAT、LINK 和 LTC 是不同投资时间范围内溢出效应的净贡献者，而 AVA、POWR、DOGE 和 MED 是无论投资时间范围如何的净接收者。对于剩下的市场，他们从净接收者转变为净贡献者，反之亦然。重大事件（COVID-19、COVID-19 疫苗接种和乌克兰与俄罗斯的紧张局势）加剧了短期、中期和长期的回报溢出效应，这意味着传染效应和多元化收益的下降。