Purpose

This paper aims to investigate the conditional equicorrelation and cross-quantile dependence between the DeFi, European and GCC currency markets (Oman, Qatar, Bahrain, Kuwait, Saudi Arabia and the United Arab Emirates).

Design/methodology/approach

This study applies the GARCH-DECO model and cross-quantilogram framework.

Findings

The findings reveal evidence of weak and negative average equicorrelations between the examined markets through time, excluding the COVID-19 outbreak and Russia–Ukraine conflict, which is consistent with the literature examining relationships in different markets. From the cross-quantilogram model, the authors note that the dependence between DeFi, EURO and GCC foreign exchange rate markets is greatest in the short run and diminishes over the medium- and long-term horizons, indicating rapid information processing between the markets under consideration, as most innovations are transmitted in the short term.

Practical implications

For the pairs of DeFi and currency markets, the static and dynamic optimal weights and hedging ratios are also estimated, providing new empirical data for portfolio managers and investors.

Originality/value

To the best of the authors’ knowledge, this is one of the most important research looking into the conditional correlation and predictability between the DeFi, EURO and GCC foreign exchange markets. More importantly, this study provides the first empirical proof of the safe-haven, hedging and diversification qualities of DeFi, EURO and GCC currencies, and this work also covers the COVID-19 pandemic and the Russia–Ukraine war with the use of a single dynamic measure produced by the GARCH-DECO model. In addition, the directional predictability between variables under consideration using the cross-quantilogram model is examined, which can be capable of capturing the asymmetry in the quantile dependent structure. The findings are helpful for both policymakers and investors in improving their trading selections and strategies for risk management in different market conditions.

中文翻译：

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DeFi对GCC外汇远期市场动态影响的实证分析：投资组合影响

目的

本文旨在研究 DeFi、欧洲和海湾合作委员会货币市场（阿曼、卡塔尔、巴林、科威特、沙特阿拉伯和阿拉伯联合酋长国）之间的条件等相关性和跨分位数依赖性。

设计/方法论/途径

本研究应用GARCH-DECO模型和交叉量化图框架。

发现

研究结果揭示了随着时间的推移，所研究的市场之间存在弱且负的平均等相关性的证据，不包括 COVID-19 爆发和俄罗斯-乌克兰冲突，这与研究不同市场关系的文献是一致的。作者从交叉量化图模型中注意到，DeFi、欧元和海湾合作委员会外汇市场之间的依赖性在短期内最大，并在中长期范围内减弱，这表明所考虑的市场之间的信息处理速度很快，因为大多数创新都是在短期内传播的。

实际影响

对于 DeFi 和货币市场对，还估计了静态和动态最优权重和对冲比率，为投资组合经理和投资者提供新的经验数据。

原创性/价值

据作者所知，这是研究 DeFi、欧元和海湾合作委员会外汇市场之间的条件相关性和可预测性的最重要的研究之一。更重要的是，这项研究首次提供了 DeFi、欧元和海湾合作委员会货币的避险、对冲和多元化品质的实证证据，并且这项工作还涵盖了使用单一货币的 COVID-19 大流行和俄罗斯-乌克兰战争。 GARCH-DECO 模型产生的动态测量。此外，还使用交叉分位数图模型检查了所考虑的变量之间的方向可预测性，该模型能够捕获分位数相关结构中的不对称性。研究结果有助于政策制定者和投资者改善不同市场条件下的交易选择和风险管理策略。