Interconnectedness between healthcare tokens and healthcare stocks: Evidence from a quantile VAR approach
We investigate the interdependence between healthcare stocks and healthcare tokens, an emerging asset class associated with the integration of blockchain technology in the healthcare sector. Employing the quantile connectedness approach on the daily returns of the largest healthcare stocks and tokens, our results show that healthcare stocks and tokens are largely unrelated at the median quantile. In contrast, there is an increase in the connectedness between these markets at the extreme quantiles. We also find evidence of time-varying spillovers in the markets across the quantiles. Specifically, there is an increase in the sensitivity in the spillover patterns between healthcare stocks and tokens during extreme market conditions such as the first year of the COVID-19 pandemic. Finally, we document the asymmetric, time-varying tail dependence between healthcare stocks and healthcare tokens.
International Review of Economics and Finance
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Yousaf, Imran; Pham, Linh; and Goodell, John W., "Interconnectedness between healthcare tokens and healthcare stocks: Evidence from a quantile VAR approach" (2023). Kean Publications. 119.