Time-frequency extreme risk spillover network of cryptocurrency coins, DeFi tokens and NFTs

Xingzhi Qiao, Huiming Zhu, Yiding Tang and Cheng Peng

Finance Research Letters, 2023, vol. 51, issue C

Abstract: This study examines the time-frequency extreme risk spillover network among cryptocurrency coins, decentralized finance and non-fungible tokens via wavelet-based quantile causality analysis. We derive the following empirical results. First, long-lived coins dominate cryptocurrencies’ upside and downside risk networks. Second, yield farming tokens exacerbate decentralized finance's depreciation risk but hedge risk in the medium term. Metaverse-related non-fungible tokens are the center of NFTs’ upside risk network but reverse in the long term. Third, traditional concepts affect the depreciation risk, and emerging concepts drive market prosperity in the long run. Overall, these can provide investors with diversified strategies and risk management suggestions.

Keywords: Cryptocurrency; DeFi tokens; NFTs; Wavelet; Quantile causality network (search for similar items in EconPapers)
JEL-codes: C32 G11 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006651

DOI: 10.1016/j.frl.2022.103489

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