Table 2.

Asset descriptives

AssetAsset categoryUsed asPrice calculated by
S&P 500Traditional indexDependent variableSPX
US 10 Year Treasury BondTraditionalDependent variableTrading view
DXY dollar indexTraditional indexDependent variableTrading view
GoldTraditionalDependent variableTrading view
Brent crude oilTraditionalDependent variableTrading view
USD TetherDigital (stablecoin)Conversion factorBinance
US TerraDigital (stablecoin)Dependent variableHuobi
LunaDigitalDependent variableHuobi
EtherDigitalDependent variableHuobi
BitcoinDigitalDependent variableHuobi
DeFi index (components)Digital indexDependent variable 
CurveDigitalDeFi index componentKucoin
MakerDigitalDeFi index componentHuobi
AaveDigitalDeFi index componentHuobi
CompoundDigitalDeFi index componentHuobi
UniSwapDigitalDeFi index componentHuobi
CakeDigitalDeFi index componentKucoin
YearnDigitalDeFi index componentKucoin
SushiSwapDigitalDeFi index componentHuobi

Notes:

Overview of variable descriptives sampled to evaluate the effect of the Terra Luna crash on digital and conventional asset classes. Details on the use of each asset are included to provide transparency regarding their role in the DCC-GARCH Model applied. These details include asset categories, data use and price calculation method applied before being entered into the model to display the consistency and reliability applied across the sample period from January 3, 2022, to May 31, 2022. The components of the DeFi index used are indented and highlighted in italics

Source: Authors’ own work
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