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Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications

Author

Listed:
  • Waild Mensi

    (Sultan Qaboos University
    University of Tunis El Manar and IFGT)

  • Mariya Gubareva

    (Universidade de Lisboa)

  • Khamis Hamed Al-Yahyaee

    (Muscat University)

  • Tamara Teplova

    (National Research University Higher School of Economics/HSE University)

  • Sang Hoon Kang

    (Pusan National University
    University of South Australia)

Abstract

We analyze the connectedness between major cryptocurrencies and nonfungible tokens (NFTs) for different quantiles employing a time-varying parameter vector autoregression approach. We find that lower and upper quantile spillovers are higher than those at the median, meaning that connectedness augments at extremes. For normal, bearish, and bullish markets, Bitcoin Cash, Bitcoin, Ethereum, and Litecoin consistently remain net transmitters, while NFTs receive innovations. However, spillover topology at both extremes becomes simpler—from cryptocurrencies to NFTs. We find no markets useful for mitigating BTC risks, whereas BTC is capable of reducing the risk of other digital assets, which is a valuable insight for market players and investors.

Suggested Citation

  • Waild Mensi & Mariya Gubareva & Khamis Hamed Al-Yahyaee & Tamara Teplova & Sang Hoon Kang, 2024. "Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-27, December.
    • Handle: RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00586-z
    DOI: 10.1186/s40854-023-00586-z
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