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Time-frequency correlations and extreme spillover effects between carbon markets and NFTs: The roles of EPU and COVID-19

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  • Liu, Jiatong

Abstract

This paper examines the correlations and spillover effects between carbon markets and NFTs, and explores the roles of EPU and COVID-19, utilizing the rolling window wavelet correlation and the quantile frequency connectedness approach. We find, first, strong correlations between returns mainly exist in the long term. Second, the extreme volatility spillover in the carbon-NFT system is greater and faster than in normal case. Third, major international events increase the total connectedness of the system. Fourth, COVID-19 inhibits carbon-NFTs' extreme spillover effect, while China's EPU has positive impacts. Our results also provide valuable references and policy implications for investors and policymakers.

Suggested Citation

  • Liu, Jiatong, 2023. "Time-frequency correlations and extreme spillover effects between carbon markets and NFTs: The roles of EPU and COVID-19," Finance Research Letters, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000648
    DOI: 10.1016/j.frl.2023.103690
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    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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    More about this item

    Keywords

    Carbon market; NFTs; Time-frequency analysis; Rolling wavelet correlation; Quantile frequency connectedness;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General

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