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Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework

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  • Umar, Zaghum
  • Polat, Onur
  • Choi, Sun-Yong
  • Teplova, Tamara

Abstract

This study examines how the COVID-19 pandemic has affected the connectedness between non-fungible tokens, decentralized finance coins, traditional financial assets, and cryptocurrencies. We employed a time-varying parameter vector autoregressive based frequency-dependent network connectedness approach to investigate return and volatility spillover effects between assets in time and frequency domains. The findings show that both the returns and volatility spillovers have been significantly affected by the COVID-19 pandemic, and long- and short-term connectedness vary over the course of the pandemic. These findings have implications for investors, portfolio managers, and policymakers regarding their investment strategies, portfolio allocation, and risk monitoring.

Suggested Citation

  • Umar, Zaghum & Polat, Onur & Choi, Sun-Yong & Teplova, Tamara, 2022. "Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:pacfin:v:76:y:2022:i:c:s0927538x22001718
    DOI: 10.1016/j.pacfin.2022.101876
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    Cited by:

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    3. Ugolini, Andrea & Reboredo, Juan C. & Mensi, Walid, 2023. "Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets," Finance Research Letters, Elsevier, vol. 53(C).
    4. Umar, Zaghum & Usman, Muhammad & Choi, Sun-Yong & Rice, John, 2023. "Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios," Research in International Business and Finance, Elsevier, vol. 65(C).
    5. Yousaf, Imran & Jareño, Francisco & Martínez-Serna, María-Isabel, 2023. "Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
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    More about this item

    Keywords

    Non-fungible tokens; Decentralized finance; COVID-19 pandemic; Spillover effects;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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