The economic value of NFT: Evidence from a portfolio analysis using mean–variance framework

Hyungjin Ko, Bumho Son, Yunyoung Lee, Huisu Jang and Jaewook Lee

Finance Research Letters, 2022, vol. 47, issue PA

Abstract: We investigate whether the inclusion of NFTs in portfolio investing in traditional assets provides a significant diversification benefit for constructing a well-diversified portfolio. We examine Pearson’s correlation, the Gerber Statistic for co-movement, and the spillover index for volatility transmission. Our findings suggest that NFTs are distinct from traditional assets, potentially resulting in portfolio diversification. Using the mean–variance approach, empirical results demonstrate there exist a statistically significant evidence that the inclusion of NFTs improves the performance of equally weighted and tangency portfolio strategies in terms of Sharpe ratio. It confirms that NFTs have a diversification effect on the traditional asset-based portfolios.

Keywords: Non-fungible tokens; Portfolio analysis; Mean–variance framework; The diversification effect (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612322000976
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612322000976

DOI: 10.1016/j.frl.2022.102784

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().