International Review of Economics and Finance 86 (2023) 271–283

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International Review of Economics and Finance

journal homepage: www.elsevier.com/locate/iref

Interconnectedness between healthcare tokens and healthcare

stocks: Evidence from a quantile VAR approach
Imran Yousaf a, Linh Pham b, John W. Goodell c, *
a
College of Business and Public Management, Wenzhou-Kean University, China
b
Lake Forest College, USA
c
College of Business, University of Akron, USA

A R T I C L E I N F O A B S T R A C T

JEL classification: We investigate the interdependence between healthcare stocks and healthcare tokens, an
C22 emerging asset class associated with the integration of blockchain technology in the healthcare
C51 sector. Employing the quantile connectedness approach on the daily returns of the largest
I11
healthcare stocks and tokens, our results show that healthcare stocks and tokens are largely
L65
O30
unrelated at the median quantile. In contrast, there is an increase in the connectedness between
O33 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
Keywords:
Blockchain patterns between healthcare stocks and tokens during extreme market conditions such as the first
Healthcare tokens year of the COVID-19 pandemic. Finally, we document the asymmetric, time-varying tail
Healthcare stocks dependence between healthcare stocks and healthcare tokens.
Extreme spillovers

1. Introduction

Blockchain technologies have become increasingly useful in daily life, with a wide range of applications in many different sectors
such as finance, logistics, supply chain management, and healthcare. Blockchain has the potential to transform healthcare by providing
new models for health information exchange, which improves the efficiency and security of electronic medical records, increases the
effectiveness of medical staff, and supports better health outcomes for patients (Dimitrov, 2019; Haleem et al., 2021). This, in turn, can
lead to substantial cost savings and revert the rising global healthcare costs.
As blockchain technologies also serve crucial roles in the functioning of the cryptocurrency markets, many blockchain companies in
the healthcare sector have issued digital coins, which are used to facilitate the interactions with the blockchain network among many
stakeholders such as patients, researchers, and medical experts. These coins can be purchased and sold on exchanges or transferred
among users, thereby offering an alternative investment option for investors.1 As of October 2022, there are a total of 18 actively
traded healthcare cryptocurrencies, and this market is expected to grow in the future as blockchain technologies become more

* Corresponding author.
E-mail addresses: imranyousaf.fin@gmail.com (I. Yousaf), linhngocmy.pham@gmail.com (L. Pham), johngoo@uakron.edu (J.W. Goodell).
1
For example, Humanscape, a patient network which uses blockchain technology to provide patients with information on different types of rare
diseases and updates on clinical studies and treatments, issues the HUM token, a basic transaction token of the network. This token is used as a
medium to control stakeholders’ actions on the network and to develop the Humanscape community. The token can also be purchased and sold on
the exchanges and can be transferred among users. See more at https://www.coinbase.com/price/humanscape#WhatIsHumanscapeHUM.

https://doi.org/10.1016/j.iref.2023.03.013
Received 11 November 2022; Received in revised form 15 February 2023; Accepted 9 March 2023
Available online 11 March 2023
1059-0560/© 2023 Elsevier Inc. All rights reserved.
I. Yousaf et al. International Review of Economics and Finance 86 (2023) 271–283

integrated in the healthcare system.2

Motivated by the recent growth in healthcare-related tokens, we examine the interconnectedness between healthcare tokens and
healthcare stocks. Specifically, we seek to determine how healthcare-related tokens relate to equity investments in the healthcare
sector. What are the diversification benefits of healthcare tokens against healthcare stocks across different market movements? To
answer these questions, we collect daily closing price data of healthcare tokens and healthcare stocks between 2019 and 2022. Then,
using a quantile-based connectedness analysis of Ando et al. (2022), we investigate the return spillovers among healthcare tokens and
stocks at the mean, median and extreme quantiles of the return distributions.
We find that healthcare tokens and healthcare stocks are unconnected at the median quantile, consistent with healthcare tokens
being able to diversify the risks of healthcare stocks under normal market conditions. However, in contrast, we find that at the extreme
quantiles healthcare tokens and stocks are strongly connected. Thus, healthcare tokens are not effective diversifiers of healthcare stock
risks under extreme market movements.
Additionally, the spillovers among healthcare tokens and healthcare stocks are time varying, with a marked increase in the strength
of these spillovers in 2020. This period marks the beginning phase of the COVID-19 pandemic, which is characterized by large un­
certainty in financial markets and in the development of COVID-19 vaccines and treatment plans. Further, our empirical results show
that shock spillovers at the median quantile dissipate more quickly than those at the extreme quantiles. Altogether, our results
highlight the importance of monitoring the linkages between healthcare tokens and stocks during crisis periods in order for investors to
correspondingly modify portfolios, and for healthcare blockchain companies to maintain the stability of their tokens.
This paper makes several important contributions. First, to our knowledge, this is the first study that studies the linkage between
healthcare tokens and other financial markets. While studies on the relationship between cryptocurrencies and other markets have
been extensive,3 little is known about the relationship between sector-specific cryptocurrencies and their counterparts in the tradi­
tional fixed-income, equity, and commodity markets.4
More broadly, several studies explore the different pairs of tokens and other markets, like Defi and commercial bank stocks (Yousaf,
Jareño, & Esparcia, 2022), NFTs, Defi, and other assets including gold, oil, stocks, and bitcoin (Yousaf & Yarovaya, 2022), Defi and
equity sectors (Yousaf, Jareño, & Tolentino, 2023), memes tokens and stocks (Yousaf, Pham, & Goodell, 2023), and renewable energy
tokens and fossil fuel markets (Yousaf, Nekhili, & Umar, 2022). Ren and Lucey (2022) explore the hedging, diversifier, and safe-haven
properties between clean energy, clean and dirty cryptocurrencies. These studies highlight the various degrees of connection between
cryptocurrencies and traditional assets in specific sectors, and the potential of cryptocurrencies as a diversification tool against
traditional assets within an economic sector.
The application of blockchain technologies in medical fields implies the relevance of understanding the relationship between
healthcare tokens issued by healthcare-related blockchain companies and stocks issued by other companies in the healthcare sector.
Our paper provides the first empirical evidence of the connectedness between healthcare stocks and healthcare tokens and offers
insights into the diversification benefits of healthcare tokens. Second, our analysis focuses on the most recent period surrounding the
COVID-19 pandemic, an ongoing health crisis that has rippling influences across many economic sectors, particularly the healthcare
sectors. Our empirical results show the evolution of the healthcare token-stock relationship throughout the different phases of the
pandemic, including the initial lockdowns, vaccine development and mass distribution, and the rise of various variants of the
coronavirus.
The paper proceeds as follows. Section 2 describes the data and methodology. Section 3 discusses the empirical results and their
implications. Section 4 concludes.

2. Background and literature review

2.1. What are healthcare tokens?

Healthcare cryptocurrencies are tokens issued by companies who specialize in healthcare blockchain technologies. These tokens
are earned through user interactions with the platform; thus, they are used to facilitate the interactions with the blockchain network
among stakeholders such as patients, researchers and medical experts. The tokens may then be spent to purchase services offered by
the platform. They can also be traded on exchanges or transferred among users. As of October 2022, there are a total of 18 actively
traded healthcare cryptocurrencies. Table 1 provides a summary of the major healthcare cryptocurrencies by market capitalization.

2.2. Literature background

Our paper contributes to the literature on the spillovers between cryptocurrencies and other financial markets and their impli­
cations for portfolio optimization. Several studies find an insignificant or negative correlation between cryptocurrencies and tradi­
tional assets, therefore, these studies conclude that cryptocurrencies can reduce the risk of the portfolio. For example, Dyhrberg (2016)
applies GARCH modeling to determine the financial asset capabilities of Bitcoin and finds that Bitcoin shares some similarities with
gold and the U.S. dollars, thereby highlighting the role of Bitcoin as a risk management tool. Corbet et al. (2018) study the relationship

2
https://cryptoslate.com/cryptos/healthcare/.
3
For examples, Liu et al. (2022); Elsayed et al. (2022); Pham et al. (2022); Yao et al. (2022); and Kurka (2019).
4
An exception is Yousaf, Riaz, & Goodell, 2022.

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Table 1
Description of major healthcare cryptocurrencies.
Token (symbol) Description

Dentacoin (DCN) Dentacoin (DCN) is the first cryptocurrency created as a payment method in the dental industry worldwide. The cryptocurrency has a
circulating supply of 588,105,296,887 DCN coins and a maximum supply of 7,899,848,965,678 DCN coins. It is traded on exchanges such as
CoinTiger, HitBTC, LATOKEN, Hotbit, and Mercatox. The coin is an ERC20 (Ethereum Request for Comments 20) token, which is configured
to be used globally by any individual. Dentacoin’s value is derived from the exchange with Ether. Patients earn rewards on the Dentacoin
Ecosystem for reviews, surveys, and maintaining oral hygiene. These rewards are converted to Dentacoin, which can be used to pay for
dental services. Dentists earn coins by providing dental services to patients and can use the coins to pay for dental materials, equipment, and
other related services. The transfer of Dentacoin (DCN) among users is similar to how check payments are handled. History of all transfers
will be stored in the ledgers of both parties and the balance for each account will be present in the contract state. Users may request to send
tokens from their wallet to any Ethereum wallet through smart contract.

Humanscape Humanscape (HUM) is issued by Humanscape, a health-tech startup which operates blockchain-based, rare disease patient health data
(HUM) platform. The cryptocurrency operates on the Ethereum plantform and has a current supply of 1,084,734,273.38 (913,409,274 in
circulation). It is currently actively traded in the form of ERC-20 on Ethereum on the Upbit, Coinone and GOPAX exchanges. Except for the
HUM used for the Initial Coin Offering (ICO), all the HUM will be utilized for the business operation of Humanscape. HUM tokens are earned
through participating in the system, for example, when patients’ health data are utilized to recruit subjects for clinical studies or to develop
post-launch surveys for new drugs. HUM tokens can also be bought and sold on exchanges.

MediBloc (MED) MED coin is the cryptocurrency issued by, MediBloc, a provider of a patient-centered health data ecosystem. The ecosystem is run on
‘Panacea’, a public blockchain with independent network that aims to provide patient centric, reliable and personalized health information.
Participants in the platform include patients, medical professionals, medical institutions, research institutes, insurance companies, and
pharmaceutical companies. Medical professionals or institutions record the various health data generated during treatment processes.
Patients can collect and manage the lifelog data they create or the data provided by medical institution, which can be transferred (partially or
fully) to medical professionals or institutions. This data distribution method is based on Panacea’s decentralized identifier (DID) and data
authentication. On Panacea, records are made and validated through nodes’ validation, and once a record is successfully put on the
blockchain, it cannot be forged or falsified. Note that for privacy reasons, health data are not recorded directly on the blockchain but are
stored at the user’s endpoint. Panacea’s main function is to record has value of health information and to prove the integrity and ownership
of the data through the hash value. The Panacea blockchain uses DPOS (Delegated Proof of Stake) consensus mechanism with PBFT
(Practical Byzantine Fault Tolerance) algorithm. Under these algorithms, validators (block producers) are decided by network participants’
votes. After successfully fulfilling their duties, validators are rewarded with MED mainnet coin based on the number of votes they received as
an incentive. As of February 2023, MediBloc has a current supply of 7,697,598,449 with 5,382,401,140 in circulation and can be traded on
exchanges such as Upbit, Gate.io, Bithumb, Osmosis, and Bittrex.

SOLVE (SOLVE) SOLVE is a cryptocurrency issued by Solve.Care, a digital health network company that uses blockchain and smart contracts to streamline
healthcare processes, including payments. The token is a utility token required to participate in and transact on the platform, and is an
ERC20 token on the Ethereum Network. It has a circulating supply of 482,324,963 SOLVE coins and a max. supply of 1,000,000,000 SOLVE
coins. The top cryptocurrency exchanges for trading in SOLVE stock are currently BitMart, Upbit, KuCoin, HitBTC, and Uniswap (V2). Token
prices are determined by market supply and demand.

Sources: Dentacoin Humanscape; MediBloc; SOLVE; coinmarketcap.com.

between Bitcoin, Ripple and Litecoin and other financial assets in the time and frequency domains. They show evidence of a relative
isolation of cryptocurrencies and other assets, therefore, cryptocurrencies can offer diversification benefits, particularly for investors
with shor investment horizons. Baumöhl (2019) studies the connectedness between cryptocurrencies and the forex markets and finds
significant negative dependencies between the markets in both the short and long run, thus, cryptocurrencies and forex can be used as
diversify assets. Guesmi et al. (2019) employ DCC-GARCH models to study the spillovers among Bitcoin, exchange rates, stock and
commodity markets and find that Bitcoin may offer diversification and hedging benefit for investors. Liu (2019) studies the invest­
ability and diversification benefits of 10 major cryptocurrencies. Using different portfolio models, the author shows that portfolio
diversification across different cryptocurrencies can significantly improve investment results. Conversely, several papers find evidence
of the limited role of cryptocurrencies as a hedge or safe haven. For example, using different GARCH models, Klein et al. (2018) show
that Bitcoin does not reflect any distinctive properties of gold other than asymmetric response in variance. Smales (2019) concludes
that Bitcoin is more volatile, less liquid and has higher transaction costs than other assets, including gold, even during normal market
conditions. Kristjanpoller et al. (2020) find persistence and asymmetric multifractality in the cross-correlations between five cryp­
tocurrencies and six equity Exchange Traded Funds (ETFs).
While the earliest studies on the cryptocurrency market focus on Bitcoin, recent research has shown that the connection between
cryptocurrencies and other financial markets is heterogeneous, for example, across different types of cryptocurrencies and market
conditions. Zięba et al. (2019) examine the inter-relationships between 78 cryptocurrencies using minimum-spanning trees and
conclude that the cryptocurrency market is highly diverse, despite Bitcoin dominance. Nguyen et al. (2020) use LASSO quantile
regression models to study the tail risk dependence among 21 major cryptocurrencies. They find a more pronounced right tail
dependence among the cryptocurrencies than the left-tail counterpart. In addition, Bitcoin and Litecoin are major tail risk drivers
during bullish conditions, while Ethereum and Ethereum Classic are major tail risk drivers during bearish conditions. In contrast, using
a model-free approach, Ahn (2022) quantifies the asymmetric tail dependence between cryptocurrencies and the S&P 500 index and
finds that the downward tail correlations between cryptocurrencies and the equity markets are greater than the upward tail ones. Using
copula and nonlinear Granger causality tests, Wang et al. (2022) show evidence of time-varying tail dependence between stock
markets and cryptocurrency markets. They also find that the lower tail dependences are more significant than the upper ones. Gong
and Huser (2022) develop a flexible copula model that captures asymptotic dependence in the upper and lower tails simultaneously.

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They find that the lower-tail dependence among cryptocurrencies have increased over time, while the upper tail dependence has been
more stable and weaker than the lower-tail counterpart.
In summary, the literature on the relationship between cryptocurrency and other markets has provided mixed conclusions. One
possible explanation is that the linkage between the cryptocurrency markets and other markets is sector specific, especially in light of
the diverse applications of blockchain technologies in different fields. Unfortunately, empirical evidence on the relationship between
sector-specific cryptocurrencies and their counterparts in tradition financial markets is still scant. Several pioneering studies have
analyzed the connectedness between cryptocurrencies/tokens and equity markets in the financial and banking sector (Yousaf, Jareño,
& Esparcia, 2022), the energy sector (Ren & Lucey, 2022; Yousaf, Riaz, & Goodell, 2022), and the travel and tourism sector (Yousaf,
Abrar, & Goodell, 2022). Our study contributes to the literature by analyzing the quantile connectedness between the cryptocurrency
and stock markets in the healthcare sector. We find that healthcare cryptocurrencies are largely uncorrelated with healthcare stocks at
the median quantile, while the correlation between these assets increases significantly at the extreme quantiles or during highly
volatile periods such as the COVID-19 pandemic.

3. Data and methodology

3.1. Data description

To identify the relationship between the healthcare token and healthcare stock markets, we collect daily closing prices of several
healthcare tokens and stocks. To ensure sufficient liquidity and variations in the daily asset prices. We rank the average market
capitalization of all healthcare cryptocurrencies over the entire sampling period and select the four most capitalized tokens:
Humanscape-HUM, MediBloc-MED, SOLVE, Dentacoin-DCN. These four healthcare tokens represent 86 percent of market capitali­
zation of the overall healthcare tokens sector. Further, we only choose those healthcare tokens whose data was available for at least 3.5
years and having market capitalization more than one million dollars.
We source the data for these tokens from CoinMarketCap. We select the top four capitalized healthcare U.S. stocks to represent the
healthcare stock market,5 specifically, UnitedHealth Group Incorporated-UNH, Johnson & Johnson-JNJ, Eli Lilly and Company-LLY,
Pfizer Inc.-PFE. We choose to focus on these stocks as they represent the largest healthcare companies and played crucial roles
throughout the COVID-19 pandemic. For example, Johnson & Johnson and Pfizer are actively engaged in the development of the
COVID-19 vaccines, while Eli Lilly and Company are actively engaged in the development of COVID-19 treatment drugs.6 We source
the data for these stocks from investing.com. Our sampling period starts from February 04, 2019 and ends on August 05, 2022.
Table 2 presents the summary statistics of the returns on healthcare tokens and stocks, where returns are calculated by log-
differencing the daily price series. On average, Humanscape (HUM) offers the highest returns (0.0079), while Dentacoin (DCN) of­
fers the lowest returns (− 0.0033). The healthcare tokens tend to be more volatile than the healthcare stocks, as indicated by their
higher standard deviations. Dentacoin (DCN), UnitedHealth (UNH) and Johnson & Johnson (JNJ) are negatively skewed, while the
other assets are positively skewed. Jarque-Bera test statistics show that all assets do not follow a normal distribution, and ADF test
statistics show that the asset returns are stationary.
Table 3 presents the unconditional correlation matrices between the markets. The table shows that healthcare tokens are highly
correlated among one another, with Dentacoin (DCN) being the least connected to other tokens. Similarly, the healthcare stocks are
highly correlated among themselves, with coefficients of correlation ranging from 0.431 to 0.540. Table 2 also shows that the cor­
relation between healthcare tokens and healthcare stocks is typically smaller than 0.10, consistent with weak linear relationships
between healthcare tokens and stocks in our sampling period.
Fig. 1 shows the evolution of daily closing prices of the assets under study, while Fig. 2 shows the returns. Overall, all healthcare
stocks experience an upward trend in prices throughout 2019–2022, with large variations in returns at the beginning of 2020, as a
result of the COVID-19 financial crisis. On the other hand, the healthcare tokens experience a large increase in prices in early 2021,
followed by a decrease in prices in late 2021-early 2022. These movements are consistent with the timeline of the cryptocurrency
market bubble and crash during 2021–2022.

3.2. Methodology

Summary statistics indicate that healthcare tokens and stocks exhibit asymmetric and thick-tail distributions. This indicates the
importance of studying the spillovers across these markets at the extreme quantiles. To examine the quantile-based interconnectedness
between healthcare tokens and healthcare stocks, this study uses the quantile-based-connectedness technique of Ando et al. (2022). To
compute metrices of the quantile connectedness, the infinite order-based vector moving average specifications of quantile VAR
(QVAR) are specified as following:
∑p ∑∞
yt = μ(τ) + j
Φj (τ)yt− j + ut (τ) = μ(τ) + i=0
Ωi (τ)ut− i (1)

We follow Koop et al. (1996) and Pesaran and Shin (1998) for the generalized forecast error variance decomposition (GFEVD) with

5
The number of stocks selected is to ensure a balance with the number of healthcare tokens included in our model.
6
Source: https://investor.lilly.com/news-releases/news-release-details/lillys-bebtelovimab-receives-emergency-use-authorization.

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Table 2
Summary statistics of healthcare tokens and stocks.
HUM MED SOLVE DCN UNH JNJ LLY PFE

Mean 0.0079 0.0029 − 0.0014 − 0.0033 0.0008 0.0003 0.0010 0.0002

Max 4.0411 0.7410 1.2783 0.9163 0.1204 0.0769 0.1457 0.1031
Min − 0.8711 − 0.5591 − 0.7276 − 1.7918 − 0.1897 − 0.0758 − 0.1053 − 0.0805
Std. Dev. 0.1723 0.0925 0.1056 0.1534 0.0205 0.0134 0.0200 0.0176
Kurtosis 343.4786 19.1370 38.1546 29.1473 17.1495 11.1512 13.3429 7.5172
Skewness 14.7038 1.5174 2.1883 − 1.4594 − 0.5433 − 0.0136 1.0577 0.1549
J.B. 4,296,917.0a 9919.5a 46,173.5a 25,467.3a 7409.4a 2444.5a 4100.4a 754.3a
ADF − 29.975a − 31.712a − 27.146a − 39.018a − 12.984a − 9.414a − 32.571a − 32.219a

Humanscape-HUM, MediBloc-MED, SOLVE, Dentacoin-DCN, UnitedHealth Group Incorporated-UNH, Johnson & Johnson-JNJ, Eli Lilly and
Company-LLY, Pfizer Inc.-PFE. Max-Maximum, Min-Minimum, Std.Dev.-Standard deviation, ADF-Augmented Dicky Fuller test, J.B.-Jarque Berra
test. a denotes the level of significance at 1%.

Table 3
Unconditional correlations between healthcare tokens and stocks.
HUM MED SOLVE DCN UNH JNJ LLY PFE

HUM 1.000
MED 0.252 1.000
SOLVE 0.160 0.402 1.000
DCN 0.106 0.111 0.101 1.000
UNH 0.042 0.108 0.099 − 0.007 1.000
JNJ 0.044 0.088 0.091 − 0.021 0.550 1.000
LLY − 0.002 0.084 0.069 − 0.006 0.459 0.540 1.000
PFE 0.008 0.125 0.066 0.001 0.431 0.538 0.478 1.000

Humanscape-HUM, MediBloc-MED, SOLVE, Dentacoin-DCN, UnitedHealth Group Incorporated-UNH, Johnson & Johnson-JNJ, Eli Lilly and
Company-LLY, Pfizer Inc.-PFE.

Fig. 1. Prices of healthcare tokens and stocks.

forecast horizon of H, which is specified as:

∑ − 1 ∑H− 1 ( ′ ∑ )2
(τ)jj h=0 ei Ωh (τ) (τ)ej
Θgij (H) = ∑H− 1 ′ ∑ ′ (2)
h=0 (ei Ωh (τ) (τ)Ωh (τ) ei )

The zero-vector along with the unity on the i-th position is denoted as ei . In the error variance decomposition matrix, the

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Fig. 2. Returns of healthcare tokens and stocks.

normalization of elements is specified as:

Θg (H) ∑k g ∑k
̃ g (H) = ∑ ij
Θ , w ith ̃ .1 and
Θ ̃ g (H) = 1
Θ (3)
ij k g j=1 ij i,j=1 ij
Θ
j=1 ij (H)

The GFEVD based spillover-measures are given below following Diebold and Yilmaz (2012):
∑k
TOj,t = ̃ g (H)
Θ (4)
=j ij,t
i=1,i∕

∑k
FROMj,t = ̃ g (H)
Θ (5)
i=1,i∕
=j ji,t

NETj,t = TOj,t − FROMj,t (6)

∑k ̃g
=j Θij (H)
(7)
i,j=1,i∕
TCIt =
k− 1
TOj,t shows the effect of variable j on variable i, FROMj,t indicates the impact of i on j. NETj,t represents the disparity between ‘TO’
and ‘FROM,’ with a the negative (positive) value refering to a net recipient (transmitter) of spillover. TCIt denotes the average level of

Table 4
Static return connectedness at mean using the DY approach.
HUM MED SOLVE DCN UNH JNJ LLY PFE FROM

HUM 73.89 12.89 6.89 2.01 0.82 0.84 1.89 0.76 26.11
MED 12.58 66.51 13.95 1.77 1.45 1.13 1.24 1.38 33.49
SOLVE 7.23 14.60 69.03 1.66 1.44 2.58 1.72 1.74 30.97
DCN 2.46 3.41 2.37 88.67 0.78 0.76 0.88 0.69 11.33
UNH 0.93 1.23 1.88 0.48 62.65 14.20 10.57 8.06 37.35
JNJ 0.45 1.66 1.95 0.93 12.88 57.03 12.70 12.40 42.97
LLY 1.75 1.53 1.80 0.76 9.30 13.32 61.06 10.47 38.94
PFE 0.81 1.46 1.38 0.38 7.78 13.63 11.53 63.03 36.97
TO 26.20 36.78 30.22 7.98 34.46 46.46 40.54 35.50 258.13
Inc.Own 100.09 103.28 99.25 96.65 97.11 103.49 101.60 98.53 TCI
NET 0.09 3.28 − 0.75 − 3.35 − 2.89 3.49 1.60 − 1.47 32.27

Humanscape-HUM, MediBloc-MED, SOLVE, Dentacoin-DCN, UnitedHealth Group Incorporated-UNH, Johnson & Johnson-JNJ, Eli Lilly and
Company-LLY, Pfizer Inc.-PFE.

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total connectedness. For the robustness check of the median-based connectedness results, we also report the results of mean-based
connectedness using the Diebold and Yilmaz (2012) in the current study.

4. Empirical results

4.1. Static connectedness between healthcare tokens and stocks

Table 3 presents the static mean connectedness across healthcare tokens and stocks (Diebold & Yilmaz, 2012), while Table 4
presents the static median connectedness across the markets (Ando et al., 2022). These tables summarize the spillovers across the
markets in the middle of the return distribution (i.e., under normal conditions).
Table 3 shows that the total mean connectedness index is 32.37%, consistent with a moderate level of spillovers across the markets.
As the diagonal elements of the table are over 50% for all assets, movements in each market are mainly governed by their own shocks.
The FROM connectedness shows that Dentacoin (DCN) received the smallest amount of shock from the system (11.33%), while the four
healthcare stocks received the largest amount of shocks from the system (between 36.97% and 42.97%).
Similarly, the TO connectedness indicates that Dentacoin (DCN) transmitted the smallest amount of shocks to the system (7.98%),
while Johnson & Johnson (JNJ) and Eli Lilly and Company (LLY) transmitted the largest amount of shocks (46.46$ and 40.54%
respectively). The NET connectedness shows that SOLVE, Dentacoin, UnitedHealth, and Pfizer are the net shock receivers, while other
markets are the net shock transmitters.
Table 4 also shows that the pairwise connectedness between healthcare stocks and healthcare tokens is less than 2%, consistent
with insignificant spillovers between stocks and tokens in the healthcare market. The four healthcare stocks are highly connected to
one another. Similarly, the four healthcare tokens are highly connected among themselves. Among the four healthcare tokens,
Dentacoin (DCN) is the least connected to other tokens, with pairwise connectedness ranging between 2.37 and 3.41%. These results
suggest that at the mean of the distributions, healthcare tokens and healthcare stocks form their own clusters, with high spillovers
within the clusters and low spillovers between the clusters.
To further shed light on the connectedness across the markets in the middle of the return distributions, we present the results of the
median connectedness, as shown in Table 5. Overall, the findings reported in Table 5 are qualitatively similar to those of Table 4.
Table 6 presents the static return connectedness among the markets at the extreme lower quantile (τ = 0.05), while Table 7
presents the return connectedness at the extreme upper quantile (τ = 0.95). The results reported in these tables evidence larger total
connectedness at the extreme quantiles than at the median or the mean. This indicates an increase in spillovers across the markets
under extreme conditions. These results are consistent with the stylized fact in the literature of increasing financial contagion across
the markets during extreme upward or downward movements (Bekaert et al., 2009; Saeed et al., 2021; Bouri et al., 2021; Naeem et al.,
2022a, 2022b).
Results reported in Tables 6 and 7 evidence that, at extreme quantiles, healthcare tokens tend to be net receiver of shocks, while the
healthcare stocks tend to be the net transmitters. Moreover, compared to the healthcare tokens, the healthcare stocks tend to receive
and transmit larger amounts of shocks with the system. This is indicated by the larger FROM and TO connectedness for the healthcare
stocks in Tables 6 and 7
However, it is noteworthy that there is not a large difference between the FROM and TO connectedness for the healthcare stocks
and those for the healthcare tokens. This indicates, at extreme quantiles, a strong spillover effect across all markets. Moreover, in
contrast to spillovers at the mean and median (Tables 4–5), at the extreme quantiles we do not find strong evidence of clustering assets.
Fig. 3 presents the total spillover indexes over various quantiles, showing a higher spillover index at the extreme quantiles than at the
median quantile.
Overall, our empirical results show evidence of stronger spillovers across healthcare stocks and patterns at the extreme quantiles.
This is in line with findings for other financial markets. For example, Saeed et al. (2021) find evidence of large spillovers between green
and dirty investments under extreme conditions. Naeem, Pham, et al. (2022) study the extreme quantile dependence between oil price

Table 5
Static return connectedness at median quantile (0.50).
HUM MED SOLVE DCN UNH JNJ LLY PFE FROM

HUM 75.37 12.55 6.60 1.89 0.73 0.41 1.85 0.60 24.63
MED 12.19 67.35 14.58 1.39 1.17 0.85 1.32 1.14 32.65
SOLVE 7.06 15.08 70.48 1.23 1.43 1.89 1.68 1.17 29.52
DCN 2.29 2.09 1.71 91.61 0.58 0.50 0.83 0.39 8.39
UNH 0.77 1.11 1.75 0.45 63.21 14.02 10.25 8.44 36.79
JNJ 0.56 1.00 1.53 0.62 12.80 58.39 12.64 12.46 41.61
LLY 1.59 1.15 1.40 0.72 9.45 13.20 61.98 10.51 38.02
PFE 0.86 1.07 0.97 0.51 7.79 13.35 11.27 64.17 35.83
TO 25.32 34.03 28.54 6.82 33.95 44.22 39.84 34.72 247.45
Inc.Own 100.69 101.38 99.02 98.43 97.15 102.61 101.82 98.89 TCI
NET 0.69 1.38 − 0.98 − 1.57 − 2.85 2.61 1.82 − 1.11 30.93

Humanscape-HUM, MediBloc-MED, SOLVE, Dentacoin-DCN, UnitedHealth Group Incorporated-UNH, Johnson & Johnson-JNJ, Eli Lilly and
Company-LLY, Pfizer Inc.-PFE.

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Table 6
Static return connectedness at extreme lower quantile (0.05).
HUM MED SOLVE DCN UNH JNJ LLY PFE FROM

HUM 26.68 12.27 10.85 10.57 10.15 10.71 9.21 9.56 73.32
MED 11.26 20.81 13.37 10.87 11.07 11.09 10.12 11.41 79.19
SOLVE 10.34 14.17 21.74 10.52 10.89 11.54 9.81 10.99 78.26
DCN 10.51 11.75 10.78 23.45 11.07 11.25 9.97 11.23 76.55
UNH 9.39 10.99 10.14 9.93 19.82 13.76 13.06 12.91 80.18
JNJ 8.71 10.09 10.20 10.30 13.75 19.78 13.48 13.69 80.22
LLY 8.77 10.31 9.91 9.16 13.19 13.96 21.22 13.47 78.78
PFE 8.49 10.88 9.67 9.41 13.00 14.11 13.28 21.16 78.84
TO 67.48 80.47 74.92 70.77 83.11 86.42 78.92 83.26 625.35
Inc.Own 94.16 101.27 96.66 94.22 102.93 106.20 100.14 104.42 TCI
NET − 5.84 1.27 − 3.34 − 5.78 2.93 6.20 0.14 4.42 78.17

Humanscape-HUM, MediBloc-MED, SOLVE, Dentacoin-DCN, UnitedHealth Group Incorporated-UNH, Johnson & Johnson-JNJ, Eli Lilly and
Company-LLY, Pfizer Inc.-PFE.

Table 7
Static return connectedness at extreme lower quantile (0.95).
HUM MED SOLVE DCN UNH JNJ LLY PFE FROM

HUM 31.43 10.68 10.31 10.12 9.08 10.06 8.77 9.56 68.57
MED 10.74 22.56 12.97 11.08 10.94 10.51 10.12 11.08 77.44
SOLVE 9.81 12.93 22.27 10.97 10.86 11.50 10.06 11.61 77.73
DCN 9.47 10.99 11.13 22.77 12.09 11.26 10.69 11.61 77.23
UNH 7.94 9.66 9.85 9.87 21.20 14.68 13.63 13.17 78.80
JNJ 7.93 9.60 9.75 9.40 14.06 21.10 13.90 14.26 78.90
LLY 8.43 9.80 9.51 9.82 13.57 14.40 20.34 14.13 79.66
PFE 8.13 10.06 10.00 9.97 12.66 14.62 13.65 20.91 79.09
TO 62.44 73.71 73.52 71.22 83.26 87.05 80.81 85.42 617.43
Inc.Own 93.87 96.27 95.79 93.99 104.46 108.15 101.15 106.33 TCI
NET − 6.13 − 3.73 − 4.21 − 6.01 4.46 8.15 1.15 6.33 77.18

Humanscape-HUM, MediBloc-MED, SOLVE, Dentacoin-DCN, UnitedHealth Group Incorporated-UNH, Johnson & Johnson-JNJ, Eli Lilly and
Company-LLY, Pfizer Inc.-PFE.

and stock markets, evidencing increasing dependence during crisis periods. Similar findings have been reported for the general
cryptocurrency market (Bouri et al., 2021; Naeem, Qureshi, et al., 2022; Xia et al., 2022). In contrast, at the median quantile, our
results suggest that healthcare tokens are largely unconnected to healthcare stocks, they can offer diversification benefits to investors
of healthcare stocks. However, these diversification benefits dissipate at the extreme quantiles.

Fig. 3. Variations in total spillover index (TSI) over various quantiles.

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4.2. Dynamic connectedness between healthcare tokens and stocks

To explore the time-varying spillovers between healthcare tokens and healthcare stocks, we estimate a dynamic quantile
connectedness model with a rolling window of 200 days. Fig. 4 presents the total connectedness indexes at the mean and various
quantiles across the markets. The figure shows that the total spillover indexes at the extreme quantiles are higher than those at the
mean or median quantiles. Thus, healthcare stocks and tokens are more connected under extreme upward and downward movements
than under normal market conditions. Moreover, there was an increase in total connectedness in 2020 across all the quantiles. This
period corresponds to the beginning phase of the COVID-19 pandemic, which is characterized by large uncertainty in financial markets
and in the development of COVID-19 vaccination and treatment plans (Baker et al., 2020; Rouatbi et al., 2021).
Additionally, we observe a sharp decline in the connectedness indices at the mean and median quantiles at the beginning of 2021.
Indices then steadily increase toward the end of our sampling period, which corresponds to the start of the Ukraine-Russia war and the
cryptocurrency market crash at the beginning of 2022. However, the connectedness at the extreme quantiles has remained high since
the emergence of COVID-19 in 2020. This indicates that shocks at the extreme quantiles take a longer time to dissipate than those at the
median quantile. These results are in line with the previous findings of a persistent shock transmission under extreme conditions. For
example, Bouri et al. (2021) study the connectedness across leading cryptocurrencies and find increasing connectedness under extreme
events. This finding is reenforced in Naeem, Qureshi, et al. (2022), who analyze the cryptocurrency markets during the COVID-19
pandemic. Xia et al. (2022) find that the cross-asset spillovers between non-fungible tokens (NFTs) and major asset classes are rela­
tively high under extreme market conditions.
Figs. 5 and 6 present the time-varying net return spillovers at the mean and median quantile, where positive (negative) values
indicate whether an asset is a net shock transmitter (receiver). The figures show that the four healthcare tokens tended to be net shock
receivers between 2019 and 2020, while becoming shock transmitters for 2021–2022. The healthcare stocks exhibit the opposite
patterns, where they are shock transmitters during 20,192–020 and shock receivers during 2021–2022.
Results can be attributed to companies associated with healthcare stocks being actively involved in the development of vaccines
and treatment drugs at the beginning phases of the pandemic. This leads to an increase in investor and public attention to the financial
performance of these companies, thereby increasing their roles as shock transmitters in the healthcare-related financial markets.
In contrast, healthcare tokens undergo a surge in prices at the beginning of 2021, followed by a sharp drop in prices in late 2021 and
early 2022. These movements coincide with the timeline of the most recent cryptocurrency bubble and crash. And the high volatility of
healthcare tokens in 2021–2022 increases their spillover effects to other financial markets. Thus, they tend to be shock transmitters to
other markets.
Figs. 7 and 8 presents the net return spillovers at the extreme lower and upper quantiles. Overall, the markets at the extreme
quantiles exhibit similar patterns to the median and mean quantiles. However, the absolute value of the net connectedness indexes at
the extreme quantiles are larger than at the median and mean quantiles. This suggests a decrease in the balance between shock
transmission and receipt across the markets at the extreme quantiles, compared to the median quantile.
We explore the asymmetry in the extreme spillovers between healthcare stocks and tokens, Fig. 9 presents the relative tail
dependence between the extreme upper and lower quantiles. The figure presents evidence of asymmetric dependence between
healthcare stocks and tokens. However, this asymmetry is time varying. Specifically, the relative tail dependence index is negative
during 2020, which suggests stronger spillovers across the markets at the lower tail. This is in line with the empirical evidence in the
literature of extreme negative market spillovers during the first phase of the COVID-19 pandemic (Bai et al., 2021; Bakas & Tri­
antafyllou, 2020; Baker et al., 2020; Chowdhury et al., 2022; Zhang & Hamori, 2021). The relative tail dependence index frequently
fluctuates between positive and negative values in the period after 2020, thereby highlighting the importance of monitoring the
asymmetric dependence between healthcare tokens and stocks over time.
Our results of the time-varying relative tail dependence are in line with recent studies for other markets, for example, Jena et al.
(2021), Saeed et al. (2021), and Bouri et al. (2020). We add to the extensive empirical evidence of asymmetry in financial markets (Ang
& Chen, 2002; Baruník & Čech, 2021; Patton & Sheppard, 2015). In summary, our dynamic connectedness models show that the
relationship between healthcare stocks and tokens is time varying. Specifically, the markets are highly connected during the first year
of the COVID-19 pandemic, a time of the high uncertainty in financial markets and in the development of COVID-19 vaccines and
treatment drugs. Healthcare stocks tend to be the net shock transmitters at the beginning of the pandemic, because of their significant
contributions to the treatment of the virus. On the other hand, healthcare tokens tend to be the net shock transmitters in the second half
of our sampling period, because of their high volatilities associated with the bubble and crash in the cryptocurrency markets.
Our results also indicate that shock spillovers tend to dissipate more quickly at the mean and median than at the extreme quantiles.
Therefore, the diversification benefits among healthcare stocks and tokens tend to be larger during normal market conditions than
during extreme conditions. Finally, our findings suggest evidence of a time-varying asymmetric dependence between healthcare stocks
and tokens.

5. Conclusions

Blockchain, an emerging technology, is being applied to innovative solutions in many sectors. In the healthcare sector, blockchain
is used to preserve and exchange healthcare data among various stakeholders, including patients, hospitals, laboratories, pharmacists,
and physicians. The increasingly widespread application of blockchain technologies in healthcare has given rise to healthcare tokens, a
type of cryptocurrency that is used to manage user interactions with the blockchain healthcare network. As these tokens can be traded
on crypto exchanges, understanding their relationship with traditional healthcare-related assets such as healthcare stocks provides

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Fig. 4. Total spillovers.

Fig. 5. Net return spillover at mean using DY approach.

useful information for investors as well as blockchain technology companies.

This paper is the first study on the quantile dependence between healthcare tokens and stocks. Using daily closing price data for the
largest healthcare tokens and stocks around the COVID-19 pandemic, our results show that spillovers between healthcare tokens and
stocks varies over time and across quantiles of the return distributions. Specifically, at the median quantile, healthcare tokens and
healthcare stocks are largely unconnected to each other. In contrast, there is a significant increase in the connectedness among the
markets at the extreme quantiles. Moreover, the spillovers at the extreme quantiles take longer to dissipate than those at the median
quantiles. Our results also indicate evidence of an asymmetric, time-varying tail dependence between healthcare stocks and tokens.
Our results provide important implications for various stakeholders. For investors, our results indicate that during normal market
conditions, healthcare tokens and healthcare stocks are unrelated markets. Thus, investors in healthcare stocks can use healthcare
tokens to diversify healthcare stocks in their investment portfolios. However, healthcare tokens and healthcare stocks exhibit sig­
nificant spillovers under extreme conditions, with therefore diminished diversification utility.

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Fig. 6. Net return spillover at median quantile (Q = 0.50).

Fig. 7. Net return spillover at extreme lower quantile (Q = 0.05).

Results also highlight the importance of managing the adverse effects of extreme risk spillovers in financial markets. Further, for
healthcare blockchain technologies, understanding the relationship of their tokens with other healthcare-related financial markets
under different market conditions allows for design of strategies to maintain the stability of tokens.

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Fig. 8. Net return spillover at extreme upper quantile (Q = 0.95).

Fig. 9. Relative tail dependence (TSIQ=0.95 − TSIQ=0.05 ).

Data availability

Data will be made available on request.

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