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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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    Cited by:

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    4. Ho, Kin-Hon & Law, Monica & Hou, Yun & Chan, Tse-Tin, 2024. "Spillover analysis on NFTs, NFT-affiliated tokens and NFT submarkets," Finance Research Letters, Elsevier, vol. 60(C).
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    8. Abdullah, Mohammad & Sarker, Provash Kumer & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Rehman, Mohd Ziaur, 2024. "Tail risk intersection between tech-tokens and tech-stocks," Global Finance Journal, Elsevier, vol. 61(C).
    9. Kumar, Sanjeev & Patel, Ritesh & Iqbal, Najaf & Gubareva, Mariya, 2023. "Interconnectivity among cryptocurrencies, NFTs, and DeFi: Evidence from the Russia-Ukraine conflict," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
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    17. Choi, Jaeseo, 2024. "A Study on the Applicability of NFT in the Entertainment Industry: Application of the Means-end Chain analysis and Laddering," 24th ITS Biennial Conference, Seoul 2024. New bottles for new wine: digital transformation demands new policies and strategies 302456, International Telecommunications Society (ITS).
    18. Zhang, Wenting & Liu, Tiantian & Zhang, Yulian & Hamori, Shigeyuki, 2024. "Can NFTs hedge the risk of traditional assets after the COVID-19 pandemic?," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    19. Abakah, Emmanuel Joel Aikins & Wali Ullah, G M & Abdullah, Mohammad & Lee, Chi-Chuan & Sulong, Zunaidah, 2024. "Correlation structure between fiat currencies and blockchain assets," Finance Research Letters, Elsevier, vol. 62(PA).

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