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Are non-fungible tokens (NFTs) different asset classes? Evidence from quantile connectedness approach

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  • Xia, Yufei
  • Li, Jinglong
  • Fu, Yating

Abstract

The emerging Non-fungible tokens (NFTs) have received investors’ attention as an alternative asset, whereas the nexus between NFTs and major asset classes remains unsettled and emerges as an issue of unquestionable interest. Using a novel Q-Joint spillover model, we explore the quantile connectedness between NFTs and common asset classes. We reveal that return and volatility cross-asset spillovers are much higher in extreme market conditions than that of normal times. The noticeable directional connectedness and results of hierarchical clustering of directional spillovers hint that NFTs should not be considered as a distinct asset class in extreme market conditions.

Suggested Citation

  • Xia, Yufei & Li, Jinglong & Fu, Yating, 2022. "Are non-fungible tokens (NFTs) different asset classes? Evidence from quantile connectedness approach," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003786
    DOI: 10.1016/j.frl.2022.103156
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    References listed on IDEAS

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    Cited by:

    1. Bejaoui, Azza & Frikha, Wajdi & Jeribi, Ahmed & Bariviera, Aurelio F., 2023. "Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
    2. Menvouta, Emmanuel Jordy & Serneels, Sven & Verdonck, Tim, 2023. "Practicable optimization for portfolios that contain nonfungible tokens," Finance Research Letters, Elsevier, vol. 55(PB).
    3. Yousaf, Imran & Pham, Linh & Goodell, John W., 2023. "Interconnectedness between healthcare tokens and healthcare stocks: Evidence from a quantile VAR approach," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 271-283.
    4. Zhang, Z. John, 2023. "Cryptopricing: Whence comes the value for cryptocurrencies and NFTs?," International Journal of Research in Marketing, Elsevier, vol. 40(1), pages 22-29.

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