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Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model

Author

Listed:
  • Imran Yousaf

    (Wenzhou-Kean University
    Lebanese American University
    School of Business, The University of Jordan)

  • Manel Youssef

    (Ecovis KDH Partners)

  • Mariya Gubareva

    (Universidade de Lisboa
    Universidade de Lisboa)

Abstract

This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using the time-varying parameter vector autoregressions approach. We reveal that the total connectedness between these markets is weak, implying that investors may increase the diversification benefits of their multicurrency portfolios by adding NFTs. We also find that NFTs are net transmitters of both return and volatility spillovers; however, in the case of return spillovers, the influence of NFTs on conventional currencies is more pronounced than that of volatility shock transmissions. The dynamic exercise reveals that the returns and volatility spillovers vary over time, largely increasing during the onset of the Covid-19 crisis, which deeply affected the relationship between NFTs and the conventional currencies markets. Our findings are useful for currency traders and NFT investors seeking to build effective cross-currency and cross-asset hedge strategies during systemic crises.

Suggested Citation

  • Imran Yousaf & Manel Youssef & Mariya Gubareva, 2024. "Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-22, December.
    • Handle: RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00570-7
    DOI: 10.1186/s40854-023-00570-7
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