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Exploring the hedging performance of non-fungible token: Novel evidence from world uncertainty

Author

Listed:
  • Umar, Muhammad
  • Qin, Meng
  • Su, Chi-Wei

Abstract

The study underscores the importance of global uncertainty in shaping a valuable non-fungible token (NFT) portfolio, linking the World Uncertainty Index (WUI) with the Non-Fungible Token Index (NFTI) through various methods to explore their relationship. Following the quantitative discussions, we discover that favourable and adverse effects exist of WUI on NFTI, which is not consistent with the inter-temporal capital asset pricing model. The favourable effects suggest that the non-fungible token market is considered a safe haven to hedge against uncertainty across the globe. However, the adverse impacts of WUI on NFTI cannot support this opinion, and the hedging performance of non-fungible tokens has almost disappeared in recent years. In turn, the favourable influences from NFTI to WUI underline that the former is viewed as a predictive indicator of the latter, indicating that the non-fungible token market might mirror the uncertainty worldwide.

Suggested Citation

  • Umar, Muhammad & Qin, Meng & Su, Chi-Wei, 2025. "Exploring the hedging performance of non-fungible token: Novel evidence from world uncertainty," Research in International Business and Finance, Elsevier, vol. 77(PA).
    • Handle: RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001874
    DOI: 10.1016/j.ribaf.2025.102931
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    • 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
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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