This study examines the dynamics between treasury and market capitalization in two Decentralized Autonomous Organization (DAO) projects: OlympusDAO and KlimaDAO. This research examines the relationship between market capitalization and treasuries in these projects using vector autoregression (VAR), Granger causality, and Vector Error Correction models (VECM), incorporating an exogenous variable to account for the comovement of decentralized finance assets. Additionally, a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is employed to assess the impact of carbon offset tokens on KlimaDAO’s market capitalization returns’ conditional variance. The findings suggest a connection between market capitalization and treasuries in the analyzed projects, underscoring the importance of the treasury and carbon offset tokens in impacting a DAO’s market capitalization and variance. Additionally, the results suggest significant implications for predictive modeling, highlighting the distinct behaviors observed in OlympusDAO and KlimaDAO. Investors and policymakers can leverage these results to refine investment strategies and adjust treasury allocation strategies to align with market trends. Furthermore, this study addresses the importance of responsible investing, advocating for including sustainable investment assets alongside a foundational framework for informed investment decisions and future studies in the field, offering novel insights into decentralized finance dynamics and tokenized assets’ role within the crypto-asset ecosystem.
Table 4. VAR estimation results. Dependent Variable Variable r_Klima_MC_m r_Olympus_MC_m r_Klima_Tr_m r_Olympus_Tr_m r_Klima_MC_m(1) 0.143 (0.140) [1.023] 0.318 (0.094) [3.382] 0.339 (0.169) [2.004] 0.170 (0.114) [1.489] r_Olympus_MC_m(1) 0.358 (0.213) [1.681] 0.137 (0.143) [0.955] 0.264 (0.258) [1.024] 0.041 (0.174) [0.234] r_Klima_Tr_m(1) 0.543 (0.222) [2.449] 0.605 (0.149) [4.055] 0.196 (0.269) [0.731] 0.814 (0.181) [4.499] r_Olympus_Tr_m(1) 0.383 (0.209) [1.837] 0.857 (0.140) [6.114] 0.135 (0.253) [0.534] 0.057 (0.170) [0.335] C 0.003 (0.002) [1.353] 0.001 (0.001) [0.977] 0.003 (0.002) [1.270] 0.002 (0.002) [1.392] r_Defi_MC_m 1.148 (0.223) [5.138] 0.569 (0.150) [3.789] 0.562 (0.271) [2.077] 0.112 (0.182) [0.613]
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R2 0.716 0.792 0.363 0.566 Note: standard errors are indicated within parentheses (), while t-statistics are denoted within square brackets []. According to our findings, the lagged variable r_Klima_MC_mt1 significantly impacts r_Olympus_MC_mt and r_Klima_Tr_mt. The lagged variable r_Olympus_MC_mt1 does not seem statistically significant at the 5% level. Next, the lagged variable r_Klima_Tr_mt1 has a significant relationship with r_Klima_MC_mt and r_Olympus_MC_mt, just as with r_Olympus_Tr_mt. Furthermore, the lagged variable r_Olympus_Tr_mt1 has a significant impact on r_Olympus_MC_mt. Finally, the exogenous variable r_Defi_MC_mt is statistically related to r_Klima_MC_mt, r_Olympus_MC_mt, and r_Klima_Tr_mt.
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4.3. Granger Causality Results In Table 5, we present the Granger causality test results. As shown in Table 5, there is evidence of Granger causality from r_Klima_Tr_m to r_Klima_MC_m. Next, there is strong evidence of Granger causality from r_Klima_MC_m, r_Klima_Tr_m, and r_Olympus_Tr_m to r_Olympus_MC_m, with the null hypothesis rejected at the 1% level for all cases. Furthermore, the null hypothesis of no Granger causality from r_Klima_MC_m to r_Klima_Tr_m is rejected at the 5% level. Finally, there is strong evidence of Granger causality from r_Klima_Tr_m to r_Olympus_Tr_m. J. Risk Financial Manag. 2024, 17, 179 12 of 23 Table 5. Granger causality results. Dependent Variable: r_Klima_MC_m Excluded Variable Chi-square Statistic Degrees of Freedom Prob. r_Olympus_MC_m r_Klima_Tr_m r_Olympus_Tr_m All 2.825 5.996 3.374 14.983 1 1 1 3 0.093 * 0.014 ** 0.066 * 0.002 *** Dependent Variable: r_Olympus_MC_m Excluded Variable Chi-square Statistic Degrees of Freedom Prob.
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440 16.440 37.386 49.610 1 1 1 3 0.001 *** 0.000 *** 0.000 *** 0.000 *** Dependent Variable: r_Klima_Tr_m Excluded Variable Chi-square Statistic Degrees of Freedom Prob. r_Klima_MC_m r_Olympus_MC_m r_Olympus_Tr_m All 4.016 1.049 0.286 5.211 1 1 1 3 0.045 ** 0.306 0.593 0.157 Dependent Variable: r_Olympus_Tr_m Excluded Variable Chi-square Statistic Degrees of Freedom Prob. r_Klima_MC_m r_Olympus_MC_m r_Klima_Tr_m All 2.218 0.055 20.239 21.535 1 1 1 3 0.136 0.815 0.000 *** 0.000 *** Note: asterisks ***, **, and * represent significance at the 1%, 5%, and 10% levels, respectively.
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