The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic

Zaghum Umar, Afsheen Abrar, Adam Zaremba, Tamara Teplova and Xuan Vinh Vo

Finance Research Letters, 2022, vol. 49, issue C

Abstract: We study the relationship between return and volatility of non-fungible tokens (NFT) segments and media coverage during the outbreak of the COVID-19 pandemic in a connectedness framework. We document media coverage as a net transmitter of spillover for both the return and volatility of NFT segments. We find that NFTs representing the Utilities segment is a major transmitter of spillover. Our findings have important implications for portfolio managers, regulators, and policymakers.

Keywords: connectedness; COVID-19; non-fungible tokens (NFT); spillover; media coverage (search for similar items in EconPapers)
JEL-codes: C5 F3 G10 G12 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002690

DOI: 10.1016/j.frl.2022.103031

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