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The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic

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Listed:
  • Umar, Zaghum
  • Abrar, Afsheen
  • Zaremba, Adam
  • Teplova, Tamara
  • Vo, Xuan Vinh

Abstract

We study the relationship between return and volatility of non-fungible tokens (NFT) segments and media coverage during the outbreak of the COVID-19 pandemic in a connectedness framework. We document media coverage as a net transmitter of spillover for both the return and volatility of NFT segments. We find that NFTs representing the Utilities segment is a major transmitter of spillover. Our findings have important implications for portfolio managers, regulators, and policymakers.

Suggested Citation

  • Umar, Zaghum & Abrar, Afsheen & Zaremba, Adam & Teplova, Tamara & Vo, Xuan Vinh, 2022. "The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002690
    DOI: 10.1016/j.frl.2022.103031
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    References listed on IDEAS

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    7. Umar, Zaghum & Manel, Youssef & Riaz, Yasir & Gubareva, Mariya, 2021. "Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    8. Umar, Zaghum & Jareño, Francisco & González, María de la O, 2021. "The impact of COVID-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies," Technological Forecasting and Social Change, Elsevier, vol. 172(C).
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    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F3 - International Economics - - International Finance
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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