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Exploring the time‐frequency connectedness among non‐fungible tokens and developed stock markets

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  • Wael Hemrit
  • Noureddine Benlagha
  • Racha Ben Arous
  • Mounira Ben Arab

Abstract

In this paper, we examine the connectedness between volatilities for various non‐fungible tokens (NFTs) and developed stock markets during the period from July 1, 2018, to June 15, 2022. With the use of the time‐varying connectedness methods to explore the volatility interdependences among these assets, we find that there is a significant volatility connectedness during Russia's invasion of Ukraine and COVID‐19 periods. Evidence emerging from this study advocates the inclusion of NFTs in developed stock markets for medium and long time periods only. The results also suggest that UK and Germany stock markets are the predominant market of spillover transmission, whereas the XTZ is the top net recipient/transmitter of volatility connectedness shocks. Moreover, Chinese stock market and ENJ offer more diversification gains than others, and the volatility connectedness from US stock market to NFTs is more pronounced in the long‐term than the short‐term. Our research provides some urgent and prominent insights to help investors and policymakers to be aware that NFTs are important hedge assets that should be added to stock portfolios during periods of geopolitical stability and in the post‐pandemic times.

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  • Wael Hemrit & Noureddine Benlagha & Racha Ben Arous & Mounira Ben Arab, 2023. "Exploring the time‐frequency connectedness among non‐fungible tokens and developed stock markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(4), pages 192-207, October.
    • Handle: RePEc:wly:isacfm:v:30:y:2023:i:4:p:192-207
    DOI: 10.1002/isaf.1544
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