Dynamic Connectedness and Time–Frequency Spillovers Among DeFi, AI-Related Equities, and Global Market Factors

This study examines whether global market factors predominantly transmit return shocks to selected decentralized finance (DeFi) assets and an AI-related equity across time and investment horizons. Using 1349 weekday observations from 9 February 2021, to 10 April 2026, we analyze a six-variable system comprising an equal-weighted return composite of Synthetix (SNX), Chainlink (LINK), and Compound (COMP), NVIDIA (NVDA) as a selected AI-related equity case, the MSCI World Index, the CBOE Volatility Index (VIX), WTI crude oil, and gold. We combine TVP-VAR connectedness analysis with pairwise and multiple wavelet coherence and a rolling-window robustness assessment. Total connectedness averages approximately 36%, ranging from 25% to 48%, with elevated levels in late 2022–early 2023 and early 2025. MSCI emerges as the principal net transmitter within the estimated system, while VIX exhibits a more sustained net-transmitter position after 2024. Conversely, the selected DeFi composite is predominantly a net receiver, and NVDA shifts from temporary net transmission in 2022–early 2023 to predominantly receiving shocks thereafter. Pairwise wavelet coherence reveals localized dependence between DeFi and MSCI, particularly in 2022 and 2024–2025 at medium-term scales of approximately 16–64 trading days, alongside significant DeFi–VIX coherence regions in early 2022 and late 2024–2025. NVDA–MSCI coherence is observed across multiple investment horizons. Multiple wavelet coherence further indicates joint time–frequency dependence involving MSCI and VIX without identifying their unique contributions. These wavelet findings are subject to time-scale localization and boundary effects. Overall, the results document asymmetric transmitter–receiver relationships within the selected six-variable system, with potential implications for portfolio risk assessment and financial-stability monitoring, without implying broader market representativeness or a formally established core–periphery structure.