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The hedge and safe haven properties of non-fungible tokens (NFTs): Evidence from the nonlinear autoregressive distributed lag (NARDL) model

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  • Zhang, Zhiyuan
  • Sun, Qinglin
  • Ma, Yongfan

Abstract

In this paper, we employ the NARDL model to examine whether non-fungible tokens (NFTs) can act as hedges and safe havens for stocks, bonds, US dollar, gold, crude oil and Bitcoin. In addition to examining whether NFTs can act as hedges for other assets during the full period (January 1, 2018–March 31, 2022), we also study the hedging properties of NFTs during the pre-COVID-19 period and the safe haven properties of NFTs in times of stress after the COVID-19 outbreak. The empirical results show that in the full period, NFTs are hedges for bonds, US dollar and gold on average; in the pre-COVID-19 period, NFTs are hedges for stocks and US dollar on average; in the COVID-19 period, NFTs can act as safe havens for US dollar. Our empirical findings have important implications for investors looking for hedging and safe haven instruments for major asset classes.

Suggested Citation

  • Zhang, Zhiyuan & Sun, Qinglin & Ma, Yongfan, 2022. "The hedge and safe haven properties of non-fungible tokens (NFTs): Evidence from the nonlinear autoregressive distributed lag (NARDL) model," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004949
    DOI: 10.1016/j.frl.2022.103315
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    References listed on IDEAS

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    1. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
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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).
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    3. Kumar, Anoop S & Padakandla, Steven Raj, 2023. "Do NFTs act as a good hedge and safe haven against Cryptocurrency fluctuations?," Finance Research Letters, Elsevier, vol. 56(C).

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    More about this item

    Keywords

    Non-fungible tokens; Hedge; Safe haven; NARDL model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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